Leveraging independence in high-dimensional mixed linear regression

ABSTRACT We address the challenge of estimating regression coefficients and selecting relevant predictors in the context of mixed linear regression in high dimensions, where the number of predictors greatly exceeds the sample size. Recent advancements in this field have centered on incorporating sparsity-inducing penalties into the expectation-maximization (EM) algorithm, which seeks to maximize the conditional likelihood of the response given the predictors. However, existing procedures often treat predictors as fixed or overlook their inherent variability. In this paper, we leverage the independence between the predictor and the latent indicator variable of mixtures to facilitate efficient computation and also achieve synergistic variable selection across all mixture components. We establish the non-asymptotic convergence rate of the proposed fast group-penalized EM estimator to the true regression parameters. The effectiveness of our method is demonstrated through extensive simulations and an application to the Cancer Cell Line Encyclopedia dataset for the prediction of anticancer drug sensitivity.