Honest variable selection in linear and logistic regression models via \(\ell _{1}\) and \(\ell _{1}+\ell _{2}\) penalization
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Publication:1951794
DOI10.1214/08-EJS287zbMath1320.62170arXiv0808.4051OpenAlexW3105629641MaRDI QIDQ1951794
Publication date: 24 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0808.4051
logistic regressionregressionvariable selectiongeneralized linear modelssparsehigh dimensionslassopenaltyelastic netconsistent\(\ell_1\) and \(\ell_1+\ell_2\) regularization
Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12) General nonlinear regression (62J02)
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