Penalized regression with multiple sources of prior effects

Motivation: In many high-dimensional prediction or classification tasks, complementary data on the features are available, e.g. prior biological knowledge on (epi)genetic markers. Here we consider tasks with numerical prior information that provide an insight into the importance (weight) and the direction (sign) of the feature effects, e.g. regression coefficients from previous studies. Results: We propose an approach for integrating multiple sources of such prior information into penalized regression. If suitable co-data are available, this improves the predictive performance, as shown by simulation and application.