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

zbMath1180.62080arXiv0910.1122MaRDI QIDQ3405559

Jinchi Lv, Jianqing Fan

Publication date: 10 February 2010

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

zbMATH Keywords

model selectionhigh dimensionalityvariable selectiondimensionality reductionoracle propertyLASSOpenalized likelihoodSCADsure independence screeningpenalized least squaressure screeningfolded-concave penalty

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12)

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