Title: A Cluster Elastic Net for Multivariate Regression,
Abstract: We propose a method for estimating coefficients in multivariate regression
when there is a clustering structure to the response variables. The proposed
method includes a fusion penalty, to shrink the difference in fitted values
from responses in the same cluster, and an L1 penalty for simultaneous variable
selection and estimation. The method can be used when the grouping structure of
the response variables is known or unknown. When the clustering structure is
unknown the method will simultaneously estimate the clusters of the response
and the regression coefficients. Theoretical results are presented for the
penalized least squares case, including asymptotic results allowing for p >> n.
We extend our method to the setting where the responses are binomial variables.
We propose a coordinate descent algorithm for both the normal and binomial
likelihood, which can easily be extended to other generalized linear model
(GLM) settings. Simulations and data examples from business operations and
genomics are presented to show the merits of both the least squares and
binomial methods.