Variable selection through adaptive MAVE

DOI10.1016/j.spl.2017.04.012zbMath1457.62079OpenAlexW2607743672MaRDI QIDQ2407490

Qin Wang, Hossein Moradi Rekabdarkolaee

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.04.012

zbMATH Keywords

shrinkage estimationvariable selectionsufficient dimension reductionadaptive minimum average variance estimation (MAVE)

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12) Statistical ranking and selection procedures (62F07)

Related Items (1)

High-dimensional local polynomial regression with variable selection and dimension reduction

Uses Software

• glmnet

Cites Work

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• Sliced Regression for Dimension Reduction
• An adaptive estimation of MAVE
• Dimension reduction based on constrained canonical correlation and variable filtering
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• A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
• Shrinkage Inverse Regression Estimation for Model-Free Variable Selection
• Sliced Inverse Regression for Dimension Reduction
• Using the Bootstrap to Select One of a New Class of Dimension Reduction Methods
• An Adaptive Estimation of Dimension Reduction Space
• Penalized minimum average variance estimation
• Model-Free Variable Selection
• A note on shrinkage sliced inverse regression
• Sparse sufficient dimension reduction

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