Modern variable selection in action: comment on the papers by HTT and BPV

DOI10.1214/20-STS808MaRDI QIDQ2225317zbMATH OpenFDO

Authors Edward I. George

Publication date 8 February 2021

Published in Statistical Science (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ss/1605603634

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Best subset selection via a modern optimization lens
• Estimation with quadratic loss.
• Minimax estimation with thresholding and its application to wavelet analysis
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Sparse high-dimensional regression: exact scalable algorithms and phase transitions
• The spike-and-slab LASSO

Cited in

(1)

• Rejoinder: ``Sparse regression: scalable algorithms and empirical performance

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