Adaptive Lasso estimators for ultrahigh dimensional generalized linear models

DOI10.1016/J.SPL.2014.02.015zbMath1463.62211OpenAlexW2081875724MaRDI QIDQ2453901

Mingqiu Wang, Xiuli Wang

Publication date: 11 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.spl.2014.02.015

zbMATH Keywords

high dimensionalityvariable selectiongeneralized linear modelsadaptive Lasso

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Uses Software

• glmnet

Cites Work

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• Sure independence screening in generalized linear models with NP-dimensionality
• Nearly unbiased variable selection under minimax concave penalty
• The Adaptive Lasso and Its Oracle Properties
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• Nonconcave penalized likelihood with a diverging number of parameters.
• Bridge estimation for generalized linear models with a diverging number of parameters
• High-dimensional graphs and variable selection with the Lasso
• Large sample properties of the smoothly clipped absolute deviation penalized maximum likelihood estimation on high dimensions
• Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
• Nonconcave Penalized Likelihood With NP-Dimensionality
• Smoothly Clipped Absolute Deviation on High Dimensions

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