TY - JOUR
T1 - Transfer Learning Under High-Dimensional Generalized Linear Models
AU - Tian, Ye
AU - Feng, Yang
N1 - Publisher Copyright:
© 2022 American Statistical Association.
PY - 2022
Y1 - 2022
N2 - In this work, we study the transfer learning problem under high-dimensional generalized linear models (GLMs), which aim to improve the fit on target data by borrowing information from useful source data. Given which sources to transfer, we propose a transfer learning algorithm on GLM, and derive its (Formula presented.) -estimation error bounds as well as a bound for a prediction error measure. The theoretical analysis shows that when the target and sources are sufficiently close to each other, these bounds could be improved over those of the classical penalized estimator using only target data under mild conditions. When we don’t know which sources to transfer, an algorithm-free transferable source detection approach is introduced to detect informative sources. The detection consistency is proved under the high-dimensional GLM transfer learning setting. We also propose an algorithm to construct confidence intervals of each coefficient component, and the corresponding theories are provided. Extensive simulations and a real-data experiment verify the effectiveness of our algorithms. We implement the proposed GLM transfer learning algorithms in a new R package glmtrans, which is available on CRAN. Supplementary materials for this article are available online.
AB - In this work, we study the transfer learning problem under high-dimensional generalized linear models (GLMs), which aim to improve the fit on target data by borrowing information from useful source data. Given which sources to transfer, we propose a transfer learning algorithm on GLM, and derive its (Formula presented.) -estimation error bounds as well as a bound for a prediction error measure. The theoretical analysis shows that when the target and sources are sufficiently close to each other, these bounds could be improved over those of the classical penalized estimator using only target data under mild conditions. When we don’t know which sources to transfer, an algorithm-free transferable source detection approach is introduced to detect informative sources. The detection consistency is proved under the high-dimensional GLM transfer learning setting. We also propose an algorithm to construct confidence intervals of each coefficient component, and the corresponding theories are provided. Extensive simulations and a real-data experiment verify the effectiveness of our algorithms. We implement the proposed GLM transfer learning algorithms in a new R package glmtrans, which is available on CRAN. Supplementary materials for this article are available online.
KW - Generalized linear models
KW - High-dimensional inference
KW - Lasso
KW - Negative transfer
KW - Sparsity
KW - Transfer learning
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U2 - 10.1080/01621459.2022.2071278
DO - 10.1080/01621459.2022.2071278
M3 - Article
AN - SCOPUS:85132859195
SN - 0162-1459
JO - Journal of the American Statistical Association
JF - Journal of the American Statistical Association
ER -