High-dimensional regression in practice: an empirical study of finite-sample prediction, variable selection and ranking

DOI10.1007/s11222-019-09914-9zbMath1437.62151arXiv1808.00723OpenAlexW3102310197WikidataQ90054052 ScholiaQ90054052MaRDI QIDQ2302521

Sach Mukherjee, Steven M. Hill, Fan Wang, Sylvia Richardson

Publication date: 26 February 2020

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.00723

zbMATH Keywords

predictionsimulation studyvariable selectionpenalized regressionhigh-dimensional regressionLasso

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (3)

A discussion on practical considerations with sparse regression methodologies ⋮ Network tail risk estimation in the European banking system ⋮ Penalized robust estimators in sparse logistic regression

Uses Software

• R
• glmnet
• flare
• c060

Cites Work

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