An aggregation method for sparse logistic regression

L-1 regularised logistic regression has now become a workhorse of data mining and bioinformatics: it is widely used for many classification problems, particularly ones with many features. However, L-1 regularisation typically selects too many features and that so-called false positives are unavoidable. In this paper, we demonstrate and analyse an aggregation method for sparse logistic regression in high dimensions. This approach linearly combines the estimators from a suitable set of logistic models with different underlying sparsity patterns and can balance the predictive ability and model interpretability. Numerical performance of our proposed aggregation method is then investigated using simulation studies. We also analyse a published genome-wide case-control dataset to further evaluate the usefulness of the aggregation method in multi-locus association mapping.