Moderately clipped Lasso

DOI10.1016/J.CSDA.2015.07.001zbMATH Open1468.62108OpenAlexW881276801MaRDI QIDQ1663146FDOQ1663146

Sunghoon Kwon, Sangin Lee, Yongdai Kim

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.07.001

zbMATH Keywords

LassoMCPvariable selectionhigh-dimensionclipped Lasso

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Smoothly Clipped Absolute Deviation on High Dimensions
• Calibrating nonconvex penalized regression in ultra-high dimension
• Global optimality of nonconvex penalized estimators

Cited In (3)

• On the strong oracle property of concave penalized estimators with infinite penalty derivative at the origin
• A doubly sparse approach for group variable selection
• Robust moderately clipped LASSO for simultaneous outlier detection and variable selection

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