Better prediction by use of co‐data: adaptive group‐regularized ridge regression
Better prediction by use of co‐data: adaptive group‐regularized ridge regression
For many high‐dimensional studies, additional information on the variables, like (genomic) annotation or external p ‐values, is available. In the context of binary and continuous prediction, we develop a method for adaptive group‐regularized (logistic) ridge regression, which makes structural use of such ‘co‐data’. Here, ‘groups’ refer to a partition of …