Non-Convex Global Minimization and False Discovery Rate Control for the TREX

DOI10.1080/10618600.2017.1341414OpenAlexW2962770207MaRDI QIDQ3391128FDOQ3391128

Authors: Jacob Bien, Irina Gaynanova, Johannes Lederer, Christian Mueller 

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.06815

zbMATH Keywords

model selectionglobal optimizationsparsityhigh-dimensionaltuning parameter

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• ggplot2. Elegant graphics for data analysis
• Title not available (Why is that?)
• Title not available (Why is that?)
• Conic optimization via operator splitting and homogeneous self-dual embedding
• Square-root lasso: pivotal recovery of sparse signals via conic programming
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• Scaled sparse linear regression
• Controlling the false discovery rate via knockoffs
• Applications of second-order cone programming

Cited In (2)

• Tuning-free ridge estimators for high-dimensional generalized linear models
• Prediction error bounds for linear regression with the TREX

Uses Software

• ggplot2
• ECOS
• SCS
• Glmnet

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