On constrained and regularized high-dimensional regression

DOI10.1007/s10463-012-0396-3zbMath1329.62307WikidataQ41885326 ScholiaQ41885326MaRDI QIDQ380022

Hui Zhou, Wei Pan, Yunzhang Zhu, Xiaotong Shen

Publication date: 11 November 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc3898843

zbMATH Keywords

\((p,n)\) versus fixed \(p\)-asymptotics; constrained regression; difference convex programming; nonconvex regularization; parameter and nonparametric models

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62F30: Parametric inference under constraints

62J02: General nonlinear regression

62F07: Statistical ranking and selection procedures

Related Items

Unnamed Item, Unnamed Item, Efficient kernel-based variable selection with sparsistency, High-Dimensional Learning Under Approximate Sparsity with Applications to Nonsmooth Estimation and Regularized Neural Networks, Simultaneous feature selection and outlier detection with optimality guarantees, Learning sparse nonlinear dynamics via mixed-integer optimization, Causal Inference in Transcriptome-Wide Association Studies with Invalid Instruments and GWAS Summary Data, Sparse regression for low-dimensional time-dynamic varying coefficient models with application to air quality data, Structure learning via unstructured kernel-based M-estimation, Supervised homogeneity fusion: a combinatorial approach, Subset Selection and the Cone of Factor-Width-k Matrices, Best subset selection via a modern optimization lens, Designing penalty functions in high dimensional problems: the role of tuning parameters, Relaxed sparse eigenvalue conditions for sparse estimation via non-convex regularized regression, Broken adaptive ridge regression and its asymptotic properties, High-dimensional sign-constrained feature selection and grouping, Learning sparse conditional distribution: an efficient kernel-based approach, An effective procedure for feature subset selection in logistic regression based on information criteria, \(\ell_{2,0}\)-norm based selection and estimation for multivariate generalized linear models, Robust subset selection, New bounds for subset selection from conic relaxations, Weighted thresholding homotopy method for sparsity constrained optimization, Reconstruction of a directed acyclic graph with intervention, An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series, OR Forum—An Algorithmic Approach to Linear Regression, On High-Dimensional Constrained Maximum Likelihood Inference

Uses Software

• PDCO

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nearly unbiased variable selection under minimax concave penalty
• A unified approach to model selection and sparse recovery using regularized least squares
• The Adaptive Lasso and Its Oracle Properties
• One-step sparse estimates in nonconcave penalized likelihood models
• Estimating the dimension of a model
• Local asymptotics for regression splines and confidence regions
• High-dimensional graphs and variable selection with the Lasso
• Atomic Decomposition by Basis Pursuit
• Extended Bayesian information criteria for model selection with large model spaces
• Variational Analysis
• An asymptotic property of model selection criteria
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Likelihood-Based Selection and Sharp Parameter Estimation
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• Minimax Rates of Estimation for High-Dimensional Linear Regression Over $\ell_q$-Balls
• Smoothly Clipped Absolute Deviation on High Dimensions