Latent group structure and regularized regression
Abstract
Regression models generally assume that the conditional distribution of response Y given features X is the same for all samples. For heterogeneous data with distributional differences among latent groups, standard regression models are ill-equipped, especially in large multivariate problems where hidden heterogeneity can easily pass undetected. To allow for robust and interpretable regression modeling in this setting we propose a class of regularized mixture models that couples together both the multivariate distribution of X and the conditional Y | X. This joint modeling approach offers a novel way to deal with suspected distributional shifts, which allows for automatic control of confounding by latent group structure and delivers scalable, sparse solutions. Estimation is handled via an expectation-maximization algorithm, whose convergence is established theoretically. We illustrate the key ideas via empirical examples.