Nearly unbiased variable selection under minimax concave penalty

DOI10.1214/09-AOS729zbMath1183.62120arXiv1002.4734OpenAlexW1965125844MaRDI QIDQ117379

Cun-Hui Zhang, Cun-Hui Zhang

Publication date: 1 April 2010

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

Full work available at URL: https://arxiv.org/abs/1002.4734

zbMATH Keywords

minimaxmean squared errormodel selectionleast squaresnonconvex minimizationunbiasednessvariable selectionselection consistencydegrees of freedomrisk estimationpenalized estimationsign consistencycorrect selection

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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Uses Software

• S+WAVELETS
• Bolasso

Cites Work

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