Penalty free variable selection for high-dimensional linear models

DOI10.1214/25-EJS2399MaRDI QIDQ6959717zbMATH OpenFDO

Authors Tonglin Zhang

Publication date 15 July 2025

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-19/issue-1/Penalty-free-variable-selection-for-high-dimensional-linear-models/10.1214/25-EJS2399.full

zbMATH Keywords

ordinary least squarespenalized least squaresgeneralized information criterion\(\ell_0\)-penaltymodel sizereplace-one algorithm

Mathematics Subject Classification ID

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

Cites work

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