Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

DOI10.1198/016214501753382273zbMATH Open1073.62547OpenAlexW2074682976MaRDI QIDQ4468342FDOQ4468342

Authors: Jianqing Fan, Runze Li 

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214501753382273

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12)

Cited In (only showing first 100 items - show all)

• Sparse estimation of conditional graphical models with application to gene networks
• Factor selection and structural identification in the interaction ANOVA model
• Equivalence of MAXENT and Poisson point process models for species distribution modeling in ecology
• Feature selection for varying coefficient models with ultrahigh-dimensional covariates
• Sparse additive ordinary differential equations for dynamic gene regulatory network modeling
• Variable selection for high dimensional partially linear varying coefficient errors-in-variables models
• Variable selection methods in high-dimensional regression -- a simulation study
• Fast Bayesian variable selection for high dimensional linear models: marginal solo spike and slab priors
• Joint variable selection for fixed and random effects in linear mixed-effects models
• Consistent high-dimensional Bayesian variable selection via penalized credible regions
• Likelihood-based selection and sharp parameter estimation
• Bayesian model selection in high-dimensional settings
• High-dimensional \(A\)-learning for optimal dynamic treatment regimes
• Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
• Nonconcave penalized likelihood with a diverging number of parameters.
• A Lasso-penalized BIC for mixture model selection
• Fixed effects testing in high-dimensional linear mixed models
• Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
• Robust regression through the Huber's criterion and adaptive lasso penalty
• Penalized generalized estimating equations approach to longitudinal data with multinomial responses
• The finite sample properties of sparse M-estimators with pseudo-observations
• Multiresolution functional ANOVA for large-scale, many-input computer experiments
• Kernel density regression
• Estimation and model selection in generalized additive partial linear models for correlated data with diverging number of covariates
• High-dimensional regression in practice: an empirical study of finite-sample prediction, variable selection and ranking
• Sparse estimation of large covariance matrices via a nested Lasso penalty
• New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
• Variable selection in semiparametric regression modeling
• Asymptotic Equivalence of Regularization Methods in Thresholded Parameter Space
• Variable selection in linear mixed models using an extended class of penalties
• Penalized generalized estimating equations for high-dimensional longitudinal data analysis
• Fixed and Random Effects Selection in Mixed Effects Models
• GMM estimation in partial linear models with endogenous covariates causing an over-identified problem
• RANK: Large-Scale Inference With Graphical Nonlinear Knockoffs
• DASSO: Connections Between the Dantzig Selector and Lasso
• Variable Selection and Model Choice in Geoadditive Regression Models
• Robust estimation and outlier detection for varying-coefficient models via penalized regression
• Multicategory large margin classification with unequal costs
• Two-directional simultaneous inference for high-dimensional models
• Variable Selection Using a Smooth Information Criterion for Distributional Regression Models
• Variable selection for partially linear models via partial correlation
• Nested coordinate descent algorithms for empirical likelihood
• Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
• Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
• Regularization and model selection with categorical predictors and effect modifiers in generalized linear models
• Penalized empirical likelihood for generalized linear models with longitudinal data
• High-dimensional generalized semiparametric model for longitudinal data
• Degrees of freedom in lasso problems
• Regularization for Cox's proportional hazards model with NP-dimensionality
• Oracle inequalities for high dimensional vector autoregressions
• The Generalized Ridge Estimator of the Inverse Covariance Matrix
• Variable selection for varying dispersion beta regression model
• Identifiability and estimation of meta-elliptical copula generators
• Selection by partitioning the solution paths
• Bayesian variable selection with shrinking and diffusing priors
• Local partial-likelihood estimation for lifetime data
• On the estimation of variance parameters in non-standard generalised linear mixed models: application to penalised smoothing
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Multinomial Inverse Regression for Text Analysis
• \(\ell_{1}\)-penalization for mixture regression models
• Autoregressive process modeling via the Lasso procedure
• Tensor Regression with Applications in Neuroimaging Data Analysis
• Nonconcave penalized M-estimation for the least absolute relative errors model
• Bayesian Subset Modeling for High-Dimensional Generalized Linear Models
• Sparse principal component analysis and iterative thresholding
• Variable selection in high-dimensional quantile varying coefficient models
• A simple measure of conditional dependence
• Pursuing Sources of Heterogeneity in Modeling Clustered Population
• An automated approach towards sparse single-equation cointegration modelling
• Fast community detection by SCORE
• A modified local quadratic approximation algorithm for penalized optimization problems
• On the Non-Negative Garrotte Estimator
• Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
• Estimation in high-dimensional linear models with deterministic design matrices
• Estimation of (near) low-rank matrices with noise and high-dimensional scaling
• Random lasso
• On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
• Variable selection for generalized linear mixed models by \(L_1\)-penalized estimation
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• Nonconcave penalized estimation for partially linear models with longitudinal data
• Performance guarantees for individualized treatment rules
• Least angle and \(\ell _{1}\) penalized regression: a review
• Consistency of spike and slab regression
• A selective review of group selection in high-dimensional models
• Variable selection for semiparametric varying coefficient partially linear models
• Penalized empirical likelihood for high-dimensional generalized linear models with longitudinal data
• Partially linear additive quantile regression in ultra-high dimension
• Penalized joint generalized estimating equations for longitudinal binary data
• Automatic model selection for partially linear models
• Component selection and smoothing in multivariate nonparametric regression
• Regularization in statistics
• Controlling the false discovery rate via knockoffs
• Composite quantile regression and the oracle model selection theory
• Sparse principal component analysis via regularized low rank matrix approximation
• Inference for High-Dimensional Linear Mixed-Effects Models: A Quasi-Likelihood Approach
• Discussion: One-step sparse estimates in nonconcave penalized likelihood models
• Rejoinder: One-step sparse estimates in nonconcave penalized likelihood models
• Variable selection in nonparametric additive models
• A simple approach for varying-coefficient model selection
• Relaxed Lasso

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