Iterative hard thresholding in genome-wide association studies: Generalized linear models, prior weights, and double sparsity

Abstract

Our real data analysis and simulation studies suggest that IHT can (i) recover highly correlated predictors, (ii) avoid over-fitting, (iii) deliver better true-positive and false-positive rates than either marginal testing or lasso regression, (iv) recover unbiased regression coefficients, (v) exploit prior information and group-sparsity, and (vi) be used with biobank-sized datasets. Although these advances are studied for genome-wide association studies inference, our extensions are pertinent to other regression problems with large numbers of predictors.