Nearly unbiased variable selection under minimax concave penalty

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DOI10.1214/09-aos729zbMath1183.62120arXiv1002.4734OpenAlexW1965125844MaRDI QIDQ117379

Cun-Hui Zhang, Cun-Hui Zhang

Publication date: 1 April 2010

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

Full work available at URL: https://arxiv.org/abs/1002.4734

zbMATH Keywords

minimax mean squared error model selection least squares nonconvex minimization unbiasedness variable selection selection consistency degrees of freedom risk estimation penalized estimation sign consistency correct selection

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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