AIC for the non-concave penalized likelihood method
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Publication:2414941
DOI10.1007/s10463-018-0649-xzbMath1418.62279arXiv1509.01688MaRDI QIDQ2414941
Yusuke Shimizu, Yoshiyuki Ninomiya, Hiroki Masuda, Yuta Umezu
Publication date: 17 May 2019
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.01688
Kullback-Leibler divergence; variable selection; information criterion; tuning parameter; statistical asymptotic theory; \(\ell _q\) regularization
62F12: Asymptotic properties of parametric estimators
62J07: Ridge regression; shrinkage estimators (Lasso)
62J12: Generalized linear models (logistic models)
Uses Software