A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)

zbMath1180.62080arXiv0910.1122MaRDI QIDQ3405559

Publication date: 10 February 2010

Full work available at URL: https://arxiv.org/abs/0910.1122

model selection; high dimensionality; variable selection; dimensionality reduction; oracle property; LASSO; penalized likelihood; SCAD; sure independence screening; penalized least squares; sure screening; folded-concave penalty

Mathematics Subject Classification ID

62H99: Multivariate analysis

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

62J12: Generalized linear models (logistic models)

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