Variable selection and estimation using a continuous approximation to the \(L_0\) penalty

DOI10.1007/s10463-016-0588-3zbMath1385.62019OpenAlexW2535135366MaRDI QIDQ1695760

Yanxin Wang, Qibin Fan, L. Zhu

Publication date: 8 February 2018

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-016-0588-3

zbMATH Keywords

variable selectionoracle propertycoordinate descent algorithmpenalized least squaresMBIC

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Uses Software

• glmnet
• QICD

Cites Work

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