Moderately clipped Lasso

DOI10.1016/J.CSDA.2015.07.001MaRDI QIDQ1663146zbMATH OpenOpenAlexFDO

Authors Sunghoon Kwon, Sangin Lee, Yongdai Kim

Publication date 21 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2015.07.001

zbMATH Keywords

LassoMCPvariable selectionhigh-dimensionclipped Lasso

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• Least angle regression. (With discussion)
• Nearly unbiased variable selection under minimax concave penalty
• On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
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• Pathwise coordinate optimization
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• Smoothly clipped absolute deviation on high dimensions
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• The Adaptive Lasso and Its Oracle Properties
• The Concave-Convex Procedure
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Unified LASSO Estimation by Least Squares Approximation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(3)

• On the strong oracle property of concave penalized estimators with infinite penalty derivative at the origin
• A doubly sparse approach for group variable selection
• Robust moderately clipped LASSO for simultaneous outlier detection and variable selection

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