A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
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Publication:3405559
zbMath1180.62080arXiv0910.1122MaRDI QIDQ3405559
Publication date: 10 February 2010
Full work available at URL: https://arxiv.org/abs/0910.1122
model selection; high dimensionality; variable selection; dimensionality reduction; oracle property; LASSO; penalized likelihood; SCAD; sure independence screening; penalized least squares; sure screening; folded-concave penalty
62H99: Multivariate analysis
62H12: Estimation in multivariate analysis
62J05: Linear regression; mixed models
62J12: Generalized linear models (logistic models)
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