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)

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• Estimating time-varying networks
• Model selection in linear mixed models
• An alternating direction method with continuation for nonconvex low rank minimization
• Partial linear modelling with multi-functional covariates
• A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
• The adaptive Lasso in high-dimensional sparse heteroscedastic models
• Nearly optimal minimax estimator for high-dimensional sparse linear regression
• Variable Selection in the Presence of Factors: A Model Selection Perspective
• Model selection in linear mixed effect models
• Transposable regularized covariance models with an application to missing data imputation
• Covariate assisted screening and estimation
• Sparse estimation and inference for censored median regression
• Bridge estimators and the adaptive Lasso under heteroscedasticity
• Bayesian estimation of sparse signals with a continuous spike-and-slab prior
• Variable selection for semiparametric varying coefficient partially linear errors-in-variables models
• On the distribution of the adaptive LASSO estimator
• Hidden Markov models with applications in cell adhesion experiments
• Fused Lasso algorithm for \(\mathrm{Cox}^{\prime}\) proportional hazards and binomial logit models with application to copy number profiles
• A generalized least-square matrix decomposition
• The spike-and-slab LASSO
• A tailored multivariate mixture model for detecting proteins of concordant change among virulent strains of \textit{clostridium perfringens}
• Skinny Gibbs: a consistent and scalable Gibbs sampler for model selection
• Fitting very large sparse Gaussian graphical models
• Nonconcave penalized inverse regression in single-index models with high dimensional predic\-tors
• On the degrees of freedom in shrinkage estimation
• A note on adaptive group Lasso
• Graphical-model based high dimensional generalized linear models
• Selection of latent variables for multiple mixed-outcome models
• Variable selection in joint location and scale models of the skew-\(t\)-normal distribution
• Sparse classification: a scalable discrete optimization perspective
• Visualization and assessment of model selection uncertainty
• Sparse sliced inverse regression via Lasso
• A two-step method for estimating high-dimensional Gaussian graphical models
• Gemini: graph estimation with matrix variate normal instances
• High-dimensional variable screening and bias in subsequent inference, with an empirical comparison
• Sparse principal component regression via singular value decomposition approach
• Multivariate response regression with low-rank and generalized sparsity
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• Outlyingness: which variables contribute most?
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• Bayesian factor-adjusted sparse regression
• Tuning parameter selection in sparse regression modeling
• Variable selection for semiparametric mixed models in longitudinal studies
• On the adaptive elastic net with a diverging number of parameters
• Nonparametric independence screening for ultra-high dimensional generalized varying coefficient models with longitudinal data
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Linearly constrained non-Lipschitz optimization for image restoration
• On the ``degrees of freedom of the lasso
• Sparse wavelet regression with multiple predictive curves
• QUADRO: a supervised dimension reduction method via Rayleigh quotient optimization
• Variable selection in linear mixed effects models
• Penalized empirical likelihood for the sparse Cox regression model
• Confidence sets based on penalized maximum likelihood estimators in Gaussian regression
• Distributional results for thresholding estimators in high-dimensional Gaussian regression models
• Robust variable selection through MAVE
• Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
• Regularization in finite mixture of regression models with diverging number of parameters
• Regularization for stationary multivariate time series
• Tilting methods for assessing the influence of components in a classifier
• Preconditioning the Lasso for sign consistency
• Penalized Gaussian process regression and classification for high-dimensional nonlinear data
• A nonconvex model with minimax concave penalty for image restoration
• A superlinearly convergent \(R\)-regularized Newton scheme for variational models with concave sparsity-promoting priors
• Optimal classification in sparse Gaussian graphic model
• Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO
• Pairwise Variable Selection for High-Dimensional Model-Based Clustering
• Simultaneous variable selection and class fusion for high-dimensional linear discriminant analysis
• PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
• Trace pursuit variable selection for multi-population data
• Learning Sparse Causal Gaussian Networks With Experimental Intervention: Regularization and Coordinate Descent
• Sparse Matrix Graphical Models
• A sure independence screening procedure for ultra-high dimensional partially linear additive models
• Graphical group ridge
• Partitioned Approach for High-dimensional Confidence Intervals with Large Split Sizes
• Oracle, multiple robust and multipurpose calibration in a missing response problem
• Sparse reduced-rank regression for multivariate varying-coefficient models
• Sparse Single Index Models for Multivariate Responses
• Oracle inequalities for the lasso in the Cox model
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• The ranking lasso and its application to sport tournaments
• Robust sure independence screening for ultrahigh dimensional non-normal data
• Optimal computational and statistical rates of convergence for sparse nonconvex learning problems
• Restricted fence method for covariate selection in longitudinal data analysis
• Penalized likelihood regression for generalized linear models with non-quadratic penalties
• Latent variable selection in structural equation models
• Consistent group selection in high-dimensional linear regression
• Smoothing methods for nonsmooth, nonconvex minimization
• Variable selection for general index models via sliced inverse regression
• Multi-species distribution modeling using penalized mixture of regressions
• Nonparametric estimation of the link function including variable selection
• Principled sure independence screening for Cox models with ultra-high-dimensional covariates
• Cross-validation for selecting a model selection procedure
• A general theory of concave regularization for high-dimensional sparse estimation problems
• High-dimensional regression with unknown variance
• Individualized Multidirectional Variable Selection
• Robust sure independence screening for nonpolynomial dimensional generalized linear models

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