Regularization Parameter Selections via Generalized Information Criterion

DOI10.1198/jasa.2009.tm08013zbMath1397.62262OpenAlexW2007568722WikidataQ34024240 ScholiaQ34024240MaRDI QIDQ5254958

Yiyun Zhang, Chih-Ling Tsai, Run-Ze Li

Publication date: 11 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc2911045

zbMATH Keywords

Akaike information criterionBayesian information criterionselection operatorsmoothly clipped absolute deviationleast absolute shrinkage operatornon concave penalised likelihood

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Generalized linear models (logistic models) (62J12) Statistical ranking and selection procedures (62F07)

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