Non-convex penalized estimation in high-dimensional models with single-index structure

DOI10.1016/j.jmva.2012.03.009zbMath1241.62097OpenAlexW1987832709MaRDI QIDQ432323

Pei-Rong Xu, Tao Wang, Li Xing Zhu

Publication date: 4 July 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.03.009

zbMATH Keywords

oracle propertySCADhigh-dimensional variable selectionpenalized least squaresminimax concave penalty

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20)

Related Items

Estimation in linear regression models with measurement errors subject to single-indexed distortion, Inference for biased transformation models, Robust and efficient direction identification for groupwise additive multiple-index models and its applications, Estimation and variable selection for a class of quantile regression models with multiple index, Convergence guarantee for the sparse monotone single index model, Detection of marginal heteroscedasticity for partial linear single-index models, Robust direction identification and variable selection in high dimensional general single-index models, Inferences for extended partially linear single-index models, Tests for high-dimensional single-index models, Bi-level feature selection in high dimensional AFT models with applications to a genomic study, Nonlinear regression models with single‐index heteroscedasticity, A link-free sparse group variable selection method for single-index model, New efficient estimation and variable selection in models with single-index structure, Exploring the constant coefficient of a single-index variation, Forward selection and estimation in high dimensional single index models, Optimal estimation of slope vector in high-dimensional linear transformation models, Local Walsh-average-based estimation and variable selection for single-index models, Dimension reduction regressions with measurement errors subject to additive distortion, High dimensional single-index Bayesian modeling of brain atrophy, Estimation and clustering for partially heterogeneous single index model, Variable selection and estimation for semi-parametric multiple-index models, High dimensional single index models

Uses Software

• glmnet

Cites Work

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