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

DOI10.1214/09-aos683zbMath1369.62156arXiv0905.3573OpenAlexW3100817920MaRDI QIDQ117370

Yingying Fan, Jinchi Lv, 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 selectionhigh dimensionalitysparse recoveryregularized least squaresconcave penaltyweak oracle property

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Uses Software

• PDCO

Cites Work

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