Orthogonal one step greedy procedure for heteroscedastic linear models

DOI10.1016/J.JSPI.2015.10.008MaRDI QIDQ254223zbMATH OpenOpenAlexFDO

Authors Marc-Antoine Giuliani

Publication date 8 March 2016

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2015.10.008

zbMATH Keywords

greedyheteroscedastichigh-dimensional linear models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(1)

• Model selection for high-dimensional linear regression with dependent observations

Describes a project that uses

Uses Software

• CoSaMP

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