Model selection procedure for high‐dimensional data

DOI10.1002/SAM.10088OpenAlexW4233907665WikidataQ33758274 ScholiaQ33758274MaRDI QIDQ4969736FDOQ4969736

Authors: Yongli Zhang, Xiaotong Shen 

Publication date: 14 October 2020

Published in: Statistical Analysis and Data Mining: The ASA Data Science Journal (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc2992390

zbMATH Keywords

model selectioninformation criterionpower marketRIClarge \(p\) but small \(n\)

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites Work

• Estimating the dimension of a model
• Least angle regression. (With discussion)
• Extended Bayesian information criteria for model selection with large model spaces
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• The risk inflation criterion for multiple regression
• Calibration and empirical Bayes variable selection
• On the ``degrees of freedom of the lasso
• The Covariance Inflation Criterion for Adaptive Model Selection
• Adaptive Model Selection
• Model selection: a Lagrange optimization approach
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Cited In (10)

• Estimation of \(l_0\) norm penalized models: a statistical treatment
• A study on tuning parameter selection for the high-dimensional lasso
• Consistent tuning parameter selection in high-dimensional group-penalized regression
• Online updating of information based model selection in the big data setting
• Model Selection of Generalized Estimating Equation With Divergent Model Size
• Identifying Latent Structures in Restricted Latent Class Models
• Model selection properties of forward selection and sequential cross‐validation for high‐dimensional regression
• A Model Selection Criterion for High-Dimensional Linear Regression
• Forward-Backward Selection with Early Dropping
• Influence Diagnostics for High-Dimensional Lasso Regression

Uses Software

• ARC

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