Improved variable selection with forward-lasso adaptive shrinkage

DOI10.1214/10-AOAS375zbMath1220.62089arXiv1104.3390OpenAlexW1972414162MaRDI QIDQ542500

Gareth M. James, Peter Radchenko

Publication date: 10 June 2011

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.3390

zbMATH Keywords

shrinkagelassoforward selection

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12)

Related Items (15)

Interpretable dimension reduction for classifying functional data ⋮ Variable selection for survival data with a class of adaptive elastic net techniques ⋮ Doubly robust semiparametric inference using regularized calibrated estimation with high-dimensional data ⋮ Joint estimation and variable selection for mean and dispersion in proper dispersion models ⋮ Principal minimax support vector machine for sufficient dimension reduction with contaminated data ⋮ Variable selection for high dimensional Gaussian copula regression model: an adaptive hypothesis testing procedure ⋮ In defense of LASSO ⋮ Variable selection in functional additive regression models ⋮ Quantile forward regression for high-dimensional survival data ⋮ Sparse least trimmed squares regression for analyzing high-dimensional large data sets ⋮ Long-term time series prediction using OP-ELM ⋮ Dealing with big data: comparing dimension reduction and shrinkage regression methods ⋮ Robust regression: an inferential method for determining which independent variables are most important ⋮ Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons ⋮ Sequential Lasso Cum EBIC for Feature Selection With Ultra-High Dimensional Feature Space

Uses Software

• glmnet

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• FIRST: combining forward iterative selection and shrinkage in high dimensional sparse linear regression
• Relaxed Lasso
• Least angle regression. (With discussion)
• Pathwise coordinate optimization
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Variable Inclusion and Shrinkage Algorithms
• A generalized Dantzig selector with shrinkage tuning
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• A Statistical View of Some Chemometrics Regression Tools
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• Regularization and Variable Selection Via the Elastic Net

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