Laplace Error Penalty-based Variable Selection in High Dimension

DOI10.1111/sjos.12130zbMath1360.62387OpenAlexW1825318285MaRDI QIDQ2949868

Shaoli Wang, Xue-Qin Wang, Canhong Wen

Publication date: 5 October 2015

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12130

zbMATH Keywords

variable selectionsparsityhigh-dimensional regressionoracle propertyLaplace error penaltysmooth penalty functioncoordinate descent majorization minimization

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (3)

Laplace error penalty-based M-type model detection for a class of high dimensional semiparametric models ⋮ Subset selection in network-linked data ⋮ Robust and efficient estimator for simultaneous model structure identification and variable selection in generalized partial linear varying coefficient models with longitudinal data

Uses Software

• glmnet

Cites Work

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