UPS delivers optimal phase diagram in high-dimensional variable selection

DOI10.1214/11-AOS947zbMath1246.62160arXiv1010.5028MaRDI QIDQ450021

Pengsheng Ji, Jiashun Jin

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.5028

zbMATH Keywords

graph; subset selection; Hamming distance; phase diagram; lasso; screen and clean; penalization methods; Stein's normal means

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62G20: Asymptotic properties of nonparametric inference

62J05: Linear regression; mixed models

Related Items

Feature Screening via Distance Correlation Learning, Thresholding-based outlier detection for high-dimensional data, Composite Coefficient of Determination and Its Application in Ultrahigh Dimensional Variable Screening, High-dimensional regression with unknown variance, Higher criticism for large-scale inference, especially for rare and weak effects, Detecting weak signals in high dimensions, UPS delivers optimal phase diagram in high-dimensional variable selection, Covariate assisted screening and estimation, Detecting rare and faint signals via thresholding maximum likelihood estimators, Variable selection with Hamming loss, Variable selection via adaptive false negative control in linear regression, Optimal classification in sparse Gaussian graphic model, Estimation and variable selection with exponential weights, Optimal Detection of Heterogeneous and Heteroscedastic Mixtures

Uses Software

• PDCO
• glmnet

Cites Work

• Unnamed Item
• Unnamed Item
• Innovated higher criticism for detecting sparse signals in correlated noise
• The Adaptive Lasso and Its Oracle Properties
• UPS delivers optimal phase diagram in high-dimensional variable selection
• Near-ideal model selection by \(\ell _{1}\) minimization
• High-dimensional variable selection
• Covariance regularization by thresholding
• Estimating the dimension of a model
• The risk inflation criterion for multiple regression
• Adapting to unknown sparsity by controlling the false discovery rate
• High-dimensional graphs and variable selection with the Lasso
• Learning out of leaders
• Atomic Decomposition by Basis Pursuit
• Sparse nonnegative solution of underdetermined linear equations by linear programming
• All of Nonparametric Statistics
• Compressed sensing
• A new look at the statistical model identification