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

DOI10.1093/ectj/utaa017OpenAlexW3036386250MaRDI QIDQ5083251

Sokbae Lee, Le-Yu Chen

Publication date: 22 June 2022

Published in: The 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)

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