Generalized Newton-Raphson algorithm for high dimensional LASSO regression

DOI10.4310/20-SII643OpenAlexW3126723641MaRDI QIDQ2023398FDOQ2023398

Jian Huang, Hu Zhang, Yicheng Kang, Yue-Yong Shi, Yu Ling Jiao

Publication date: 3 May 2021

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/20-sii643

zbMATH Keywords

continuationLASSOvotinggeneralized Newton-Raphsonlocal one-step convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited In (1)

• GSDAR: a fast Newton algorithm for \(\ell_0\) regularized generalized linear models with statistical guarantee

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