High Dimensional Ordinary Least Squares Projection for Screening Variables

DOI10.1111/rssb.12127zbMath1414.62313arXiv1506.01782OpenAlexW1580111774MaRDI QIDQ5378148

Xiangyu Wang, Chenlei Leng

Publication date: 12 June 2019

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

Full work available at URL: https://arxiv.org/abs/1506.01782

zbMATH Keywords

consistencygeneralized inversehigh dimensionalityMoore-Penrose inversevariable selectionordinary least squareslassosure independent screeningforward regressionmarginal correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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