Regression modelling on stratified data with the lasso
分层数据中的 lasso 回归建模
We consider the estimation of regression models on strata defined using a categorical covariate, in order to identify interactions between this categorical covariate and the other predictors. A basic approach requires the choice of a reference stratum. We show that the performance of a penalized version of this approach depends on this arbitrary choice, and propose an approach that bypasses this at almost no additional computational cost. Regarding model selection…