Rejoinder: ``Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons

DOI10.1214/20-STS733REJMaRDI QIDQ2225320FDOQ2225320

Authors: Robert Tibshirani, Ryan J. Tibshirani, Trevor Hastie 

Publication date: 8 February 2021

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ss/1605603637

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• SparseNet: coordinate descent with nonconvex penalties
• Fast best subset selection: coordinate descent and local combinatorial optimization algorithms
• Scalable approximate MCMC algorithms for the horseshoe prior

Cited In (13)

• Adaptive iterative hard thresholding for least absolute deviation problems with sparsity constraints
• Integrating prediction in mean-variance portfolio optimization
• Leveraged least trimmed absolute deviations
• Scalable penalized spatiotemporal land-use regression for ground-level nitrogen dioxide
• MIP-BOOST: Efficient and Effective L₀ Feature Selection for Linear Regression
• Title not available (Why is that?)
• Interaction Model and Model Selection for Function-on-Function Regression
• Approximate Selective Inference via Maximum Likelihood
• Extending greedy feature selection algorithms to multiple solutions
• Sparsifying the least-squares approach to PCA: comparison of lasso and cardinality constraint
• Mixed integer quadratic optimization formulations for eliminating multicollinearity based on variance inflation factor
• Model Selection With Lasso-Zero: Adding Straw to the Haystack to Better Find Needles
• Sparse index tracking using sequential Monte Carlo

Uses Software

• L0Learn

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