A unified approach to model selection and sparse recovery using regularized least squares

DOI10.1214/09-aos683zbMath1369.62156arXiv0905.3573MaRDI QIDQ117370

Jinchi Lv, Yingying Fan, Yingying Fan, Jinchi Lv

Publication date: 1 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.3573

zbMATH Keywords

model selection; high dimensionality; sparse recovery; regularized least squares; concave penalty; weak oracle property

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J05: Linear regression; mixed models

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

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Uses Software

• PDCO

Cites Work

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