Variable selection in multivariate linear models with high-dimensional covariance matrix estimation

DOI10.1016/j.jmva.2018.02.006zbMath1499.62180arXiv1707.04145OpenAlexW2963507011MaRDI QIDQ1749984

Marie Perrot-Dockès, Laure Sansonnet, Julien Chiquet, Céline Lévy-Leduc

Publication date: 17 May 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.04145

zbMATH Keywords

variable selectionmultivariate linear modelLassohigh-dimensional covariance matrix estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

An Explicit Mean-Covariance Parameterization for Multivariate Response Linear Regression, Block-Diagonal Covariance Estimation and Application to the Shapley Effects in Sensitivity Analysis, Asymptotic properties on high-dimensional multivariate regression M-estimation, MultiVarSel, A variable selection approach in the multivariate linear model: an application to LC-MS metabolomics data

Uses Software

• R
• CRAN
• glasso

Cites Work

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• High‐Dimensional Covariance Estimation