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)

• Robust variable selection based on the random quantile LASSO
• A note on the complexity of proximal iterative hard thresholding algorithm
• Penalized weighted composite quantile estimators with missing covariates
• On the oracle property of adaptive group Lasso in high-dimensional linear models
• Variable selection for generalized varying coefficient models with longitudinal data
• Sparse estimation via nonconcave penalized likelihood in factor analysis model
• Rejoinder on: ``Nonparametric inference based on panel count data
• A focused information criterion for graphical models in fMRI connectivity with high-dimensional data
• Accelerated gradient methods for nonconvex nonlinear and stochastic programming
• A new variable selection approach for varying coefficient models
• A proximal method for composite minimization
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• Weighted composite quantile estimation and variable selection method for censored regression model
• Variable selection and coefficient estimation via composite quantile regression with randomly censored data
• Group selection in high-dimensional partially linear additive models
• Variable selection in robust regression models for longitudinal data
• Quantile regression and variable selection for the single-index model
• Robust Variable Selection With Exponential Squared Loss
• Smooth-threshold estimating equations for varying coefficient partially nonlinear models based on orthogonality-projection method
• Model detection and variable selection for varying coefficient models with longitudinal data
• Penalized empirical likelihood for high-dimensional partially linear varying coefficient model with measurement errors
• Exponential screening and optimal rates of sparse estimation
• Simultaneous variable selection and de-coarsening in multi-path change-point models
• A robust penalized estimation for identification in semiparametric additive models
• Power-expected-posterior priors for variable selection in Gaussian linear models
• Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
• Quantile regression for single-index-coefficient regression models
• Robust structure identification and variable selection in partial linear varying coefficient models
• Local linear smoothing for sparse high dimensional varying coefficient models
• Model-free sure screening via maximum correlation
• Automatic variable selection for longitudinal generalized linear models
• Robust estimation and variable selection for semiparametric partially linear varying coefficient model based on modal regression
• A note on the complexity of \(L _{p }\) minimization
• Variable selection for single-index varying-coefficient model
• Identification for semiparametric varying coefficient partially linear models
• Adaptive LASSO for general transformation models with right censored data
• Shrinkage estimation for identification of linear components in additive models
• Variable selection in semiparametric regression analysis for longitudinal data
• Some theoretical results on the grouped variables Lasso
• Penalized estimation in additive varying coefficient models using grouped regularization
• Variable selection in high-dimensional double generalized linear models
• Parametric component detection and variable selection in varying-coefficient partially linear models
• Best subset selection, persistence in high-dimensional statistical learning and optimization under \(l_1\) constraint
• Efficient estimation of approximate factor models via penalized maximum likelihood
• Stable direction recovery in single-index models with a diverging number of predictors
• A majorization-minimization approach to variable selection using spike and slab priors
• Variable selection for varying coefficient models with measurement errors
• Model selection by LASSO methods in a change-point model
• Bias-corrected GEE estimation and smooth-threshold GEE variable selection for single-index models with clustered data
• Estimation and Inference for Dynamic Single-Index Varying-Coefficient Models
• Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models
• Variable selection for panel count data via non-concave penalized estimating function
• Variable selection in high-dimensional partially linear additive models for composite quantile regression
• Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
• Robust variable selection in linear mixed models
• Variable selection and semiparametric efficient estimation for the heteroscedastic partially linear single-index model
• An iterative algorithm for fitting nonconvex penalized generalized linear models with grouped predictors
• Shrinkage averaging estimation
• Honest variable selection in linear and logistic regression models via \(\ell _{1}\) and \(\ell _{1}+\ell _{2}\) penalization
• On the asymptotic properties of the group lasso estimator for linear models
• Variable selection of varying coefficient models in quantile regression
• Thresholding-based iterative selection procedures for model selection and shrinkage
• Covariate selection for the semiparametric additive risk model
• Empirical likelihood for censored linear regression and variable selection
• Stein's method in high dimensional classification and applications
• Sparsity-regularized skewness estimation for the multivariate skew normal and multivariate skew \(t\) distributions
• Simultaneous variable selection and estimation in semiparametric modeling of longitudinal/clustered data
• Weak signals in high-dimensional regression: detection, estimation and prediction
• A robust and efficient estimation and variable selection method for partially linear single-index models
• Estimation and hypothesis test for partial linear multiplicative models
• Time-varying nonlinear regression models: nonparametric estimation and model selection
• Variable selection in quantile varying coefficient models with longitudinal data
• Generalized varying coefficient partially linear measurement errors models
• Complexity of unconstrained \(L_2 - L_p\) minimization
• Hierarchical Bayes, maximum a posteriori estimators, and minimax concave penalized likelihood estimation
• Variable selection for fixed effects varying coefficient models
• Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models
• Structured estimation for the nonparametric Cox model
• Model detection and estimation for single-index varying coefficient model
• Quantile regression and variable selection of partial linear single-index model
• A Bayesian approach to sparse dynamic network identification
• Nonnegative elastic net and application in index tracking
• Robust and efficient variable selection for semiparametric partially linear varying coefficient model based on modal regression
• Variable selection in Cox regression models with varying coefficients
• Test of significance for high-dimensional longitudinal data
• Robust variable selection for nonlinear models with diverging number of parameters
• Statistical inference for partially linear regression models with measurement errors
• A note on the one-step estimator for ultrahigh dimensionality
• Variable selection via the weighted group Lasso for factor analysis models
• Smooth-threshold GEE variable selection for varying coefficient partially linear models with longitudinal data
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Model structure selection in single-index-coefficient regression models
• Group variable selection and estimation in the Tobit censored response model
• Calibrating nonconvex penalized regression in ultra-high dimension
• Bayesian hyper-Lassos with non-convex penalization
• Strong oracle optimality of folded concave penalized estimation
• Probability-enhanced sufficient dimension reduction for binary classification
• Simultaneous multiple non-crossing quantile regression estimation using kernel constraints
• New estimation and feature selection methods in mixture-of-experts models
• Regularized Estimation for the Accelerated Failure Time Model

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