Numerical characterization of support recovery in sparse regression with correlated design
Sparse regression is employed in diverse scientific settings as a feature selection method. A pervasive aspect of scientific data is the presence of correlations between predictive features. These correlations hamper both feature selection and estimation and jeopardize conclusions drawn from estimated models. On the other hand, theoretical results on sparsity-inducing regularized regression have largely addressed conditions for selection consistency via asymptotics, and disregard the problem of model selection, whereby regularization parameters are chosen. In this numerical study, we address these issues through exhaustive characterization of the performance of several regression estimators, coupled with a range of model selection strategies. These estimators and selection criteria were examined across correlated regression problems with varying degrees of signal to noise, distributions of non-zero model coefficients, and model sparsity. Our results reveal a fundamental tradeoff between false positive and false negative control in all regression estimators and model selection criteria examined. Additionally, we numerically explore a transition point modulated by the signal-to-noise ratio and spectral properties of the design covariance matrix at which the selection accuracy of all considered algorithms degrades. Overall, we find that SCAD coupled with BIC or empirical Bayes model selection performs the best feature selection across the regression problems considered.