A fast and consistent variable selection method for high-dimensional multivariate linear regression with a large number of explanatory variables
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Publication:2180065
DOI10.1214/20-EJS1701zbMath1439.62166MaRDI QIDQ2180065
Hirokazu Yanagihara, Ryoya Oda
Publication date: 13 May 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1585360818
Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)
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Uses Software
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