Minimal conditions for consistent variable selection in high dimension

DOI10.1016/J.CRMA.2011.02.014MaRDI QIDQ533994zbMATH OpenOpenAlexFDO

Authors Laetitia Comminges

Publication date 10 May 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2011.02.014

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Recommendations

• Tight conditions for consistency of variable selection in the context of high dimensionality
• High-dimensional variable selection
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• Consistent variable selection in high dimensional regression via multiple testing
• Variable selection using stepdown procedures in high-dimensional linear models

Cites work

• A new algorithm for estimating the effective dimension-reduction subspace
• Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
• Introduction to nonparametric estimation
• Lattice points in high-dimensional spheres
• Rodeo: Sparse, greedy nonparametric regression
• Selection of variables and dimension reduction in high-dimensional non-parametric regression
• Sharp adaptive estimation of the drift function for ergodic diffusions

Cited in

(5)

• Identifying a minimal class of models for high-dimensional data
• Necessary and sufficient conditions for variable selection consistency of the Lasso in high dimensions
• Adaptive signal recovery with Subbotin noise
• Tight conditions for consistency of variable selection in the context of high dimensionality
• Variable selection with Hamming loss

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