Binary classification with covariate selection through ℓ0-penalised empirical risk minimisation

DOI10.1093/ECTJ/UTAA017MaRDI QIDQ5083251OpenAlexFDO

Authors Le-Yu Chen, Sokbae Lee

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utaa017

zbMATH Keywords

classificationmaximum score estimationcovariate selectionfinite-sample propertymixed-integer optimisationpenalised estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Variable selection in convex quantile regression: \(\mathcal{L}_1\)-norm or \(\mathcal{L}_0\)-norm regularization?
• Sparse quantile regression

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