In defense of LASSO

DOI10.1080/03610926.2020.1788080MaRDI QIDQ5081041zbMATH OpenOpenAlexFDO

Authors Chi Tim Ng, Youngjo Lee, W. Lee

Publication date 1 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1788080

zbMATH Keywords

variable selectionpenalized likelihood estimationprediction errorLASSOexploratory research

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Model selection and estimation in the Gaussian graphical model
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• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
• Sure independence screening in generalized linear models with NP-dimensionality
• The Lasso problem and uniqueness
• The smallest eigenvalue of a large dimensional Wishart matrix
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Tuning parameter selection in high dimensional penalized likelihood
• Tuning parameter selectors for the smoothly clipped absolute deviation method

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