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

DOI10.1214/07-AOS0316CMaRDI QIDQ5966368zbMATH OpenOpenAlexFDO

Authors Cun-Hui Zhang

Publication date 28 August 2008

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

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

Mathematics Subject Classification ID

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

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

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Cites work

• 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
• High-dimensional graphs and variable selection with the Lasso
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• Lasso-type recovery of sparse representations for high-dimensional data
• Nonconcave penalized likelihood with a diverging number of parameters.
• The Adaptive Lasso and Its Oracle Properties
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(5)

• Nearly unbiased variable selection under minimax concave penalty
• Majorization-minimization algorithms for nonsmoothly penalized objective functions
• Fast selection of nonlinear mixed effect models using penalized likelihood
• Ultrahigh dimensional variable selection through the penalized maximum trimmed likelihood estimator
• A unified view of exact continuous penalties for _2-_0 minimization

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