Calibrating nonconvex penalized regression in ultra-high dimension

DOI10.1214/13-AOS1159zbMath1281.62106arXiv1311.4981OpenAlexW3100058837WikidataQ33768098 ScholiaQ33768098MaRDI QIDQ2438760

Lan Wang, Yongdai Kim, Run-Ze Li

Publication date: 6 March 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4981

zbMATH Keywords

variable selection high-dimensional regression LASSO MCP SCAD penalized least squares

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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