Discussion: One-step sparse estimates in nonconcave penalized likelihood models

DOI10.1214/07-AOS0316CzbMath1282.62110arXiv0808.1025OpenAlexW2086621676MaRDI QIDQ5966368

Cun-Hui Zhang

Publication date: 28 August 2008

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

Abstract: Discussion of ``One-step sparse estimates in nonconcave penalized likelihood models [arXiv:0808.1012]

Full work available at URL: https://arxiv.org/abs/0808.1025

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Cites Work

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• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Lasso-type recovery of sparse representations for high-dimensional data
• Nonconcave penalized likelihood with a diverging number of parameters.
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• High-dimensional graphs and variable selection with the Lasso
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• A Statistical View of Some Chemometrics Regression Tools
• For most large underdetermined systems of equations, the minimal 𝓁₁‐norm near‐solution approximates the sparsest near‐solution

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