Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and autometrics

DOI10.1080/03610918.2018.1554104MaRDI QIDQ5083965zbMATH OpenOpenAlexWikidataFDO

Authors Camila Epprecht, Dominique Guegan, Alvaro Veiga, Joel Corrêa da Rosa

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://halshs.archives-ouvertes.fr/halshs-00917797v2/file/13080R.pdf

zbMATH Keywords

model selectiongenetic dataMonte Carlo simulationadaptive Lassosparse modelsgeneral-to-specific

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Improved variable selection with forward-lasso adaptive shrinkage
• A note on the Lasso and related procedures in model selection
• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
• Least angle regression. (With discussion)
• Random lasso

Cites work

• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 5145287 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Computer automation of general-to-specific model selection procedures
• Handbook of economic forecasting. Volume 1
• Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
• Lasso-type recovery of sparse representations for high-dimensional data
• Least angle regression. (With discussion)
• On the ``degrees of freedom of the lasso
• Regression Shrinkage and Selection via The Lasso: A Retrospective
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regularization and Variable Selection Via the Elastic Net
• Regularization parameter selections via generalized information criterion
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Cited in

(5)

• Automated variable selection in vector multiplicative error models
• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
• Automatic variable selection in a linear model on massive data
• Penalised, post‐pretest, and post‐shrinkage strategies in nonlinear growth models
• Variable selection in double/debiased machine learning for causal inference: an outcome-adaptive approach

Describes a project that uses

Uses Software

• glmnet
• PcGets

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