Model selection and estimation in high dimensional regression models with group SCAD

DOI10.1016/J.SPL.2015.04.017MaRDI QIDQ893964zbMATH OpenOpenAlexFDO

Authors Xiao Guo, Hai Zhang, Yao Wang, Jiang-Lun Wu

Publication date 23 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://cronfa.swan.ac.uk/Record/cronfa22316/Download/0022316-22022017111611.pdf

zbMATH Keywords

sparsityoracle propertygroup selectionhigh dimensiongroup SCAD

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cites work

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• Estimating the dimension of a model
• Group descent algorithms for nonconvex penalized linear and logistic regression models with grouped predictors
• Model Selection and Estimation in Regression with Grouped Variables
• Nearly unbiased variable selection under minimax concave penalty
• Nonconcave penalized likelihood with a diverging number of parameters.
• Smoothly clipped absolute deviation on high dimensions
• Some Comments on C P
• Strong oracle optimality of folded concave penalized estimation
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(10)

• Consistent group selection in high-dimensional linear regression
• Group variable selection via SCAD-L₂
• A high-dimensional M-estimator framework for bi-level variable selection
• Envelope-based sparse reduced-rank regression for multivariate linear model
• Detection of similar successive groups in a model with diverging number of variable groups
• Group variable selection based on SCAD and MCP in generalized linear models
• High-dimensional sparse portfolio selection with nonnegative constraint
• Adaptive group Lasso selection in quantile models
• Local optimality for stationary points of group zero-norm regularized problems and equivalent surrogates
• Estimating high-dimensional regression models with bootstrap group penalties

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