• Corpus ID: 51918599

A Cluster Elastic Net for Multivariate Regression

@article{Price2017ACE,
  title={A Cluster Elastic Net for Multivariate Regression},
  author={Bradley S. Price and Ben Sherwood},
  journal={J. Mach. Learn. Res.},
  year={2017},
  volume={18},
  pages={232:1-232:39}
}
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… 

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