Identifying a minimal class of models for high-dimensional data

MaRDI QIDQ5361286zbMATH OpenFDO

Authors Daniel Nevo, Yaacov Ritov

Publication date 27 September 2017

Full work available at URL https://arxiv.org/abs/1504.00494, http://jmlr.csail.mit.edu/papers/v18/16-172.html

zbMATH Keywords

elastic nethigh-dimensional dataLassomodel selectionsimulated annealing

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical aspects of big data and data science (62R07)

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(7)

• Optimal selection of sample-size dependent common subsets of covariates for multi-task regression prediction
• Sparse and smooth signal estimation: convexification of \(\ell_0\)-formulations
• High-Dimensional Data Analysis with Low-Dimensional Models
• Forward stability and model path selection
• Rank-one convexification for sparse regression
• Minimum distance classification rules for high dimensional data
• All models are wrong, but many are useful: learning a variable's importance by studying an entire class of prediction models simultaneously

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