Covariance-Regularized Regression and Classification for high Dimensional Problems

DOI10.1111/j.1467-9868.2009.00699.xzbMath1250.62033OpenAlexW2037062671WikidataQ33591022 ScholiaQ33591022MaRDI QIDQ2920259

Daniela M. Witten, Robert Tibshirani

Publication date: 25 October 2012

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc2806603

zbMATH Keywords

variable selection covariance regularization \(n\ll p\)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Generalized linear models (logistic models) (62J12)

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