LINselect (Q31531)
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Selection of Linear Estimators
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LINselect |
Selection of Linear Estimators |
Statements
7 December 2023
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Estimate the mean of a Gaussian vector, by choosing among a large collection of estimators, following the method developed by Y. Baraud, C. Giraud and S. Huet (2014) <doi:10.1214/13-AIHP539>. In particular it solves the problem of variable selection by choosing the best predictor among predictors emanating from different methods as lasso, elastic-net, adaptive lasso, pls, randomForest. Moreover, it can be applied for choosing the tuning parameter in a Gauss-lasso procedure.
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