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

DOI10.1080/03610918.2018.1554104zbMATH Open1489.62211OpenAlexW2785196034WikidataQ128551754 ScholiaQ128551754MaRDI QIDQ5083965FDOQ5083965

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

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

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)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Lasso-type recovery of sparse representations for high-dimensional data
• Title not available (Why is that?)
• Regression Shrinkage and Selection via The Lasso: A Retrospective
• Regularization and Variable Selection Via the Elastic Net
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regularization parameter selections via generalized information criterion
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• On the ``degrees of freedom of the lasso
• Handbook of economic forecasting. Volume 1
• Computer automation of general-to-specific model selection procedures
• Title not available (Why is that?)
• Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez

Cited In (5)

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

Uses Software

• PcGets
• glmnet

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