Calibrating nonconvex penalized regression in ultra-high dimension

DOI10.1214/13-AOS1159zbMath1281.62106arXiv1311.4981MaRDI 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

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

65C05: Monte Carlo methods