Regularization Parameter Selections via Generalized Information Criterion
From MaRDI portal
Publication:5254958
DOI10.1198/jasa.2009.tm08013zbMath1397.62262OpenAlexW2007568722WikidataQ34024240 ScholiaQ34024240MaRDI QIDQ5254958
Yiyun Zhang, Chih-Ling Tsai, Run-Ze Li
Publication date: 11 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc2911045
Akaike information criterionBayesian information criterionselection operatorsmoothly clipped absolute deviationleast absolute shrinkage operatornon concave penalised likelihood
Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Generalized linear models (logistic models) (62J12) Statistical ranking and selection procedures (62F07)
Related Items
Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency, Simultaneous variable selection and de-coarsening in multi-path change-point models, Penalized variable selection in competing risks regression, Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators, A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions, Generalized \(k\)-means in GLMs with applications to the outbreak of COVID-19 in the United States, A novel Granger causality method based on HSIC-Lasso for revealing nonlinear relationship between multivariate time series, Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses, Estimation and identification of latent group structures in panel data, Random subspace method for high-dimensional regression with the \texttt{R} package \texttt{regRSM}, Parameter estimation for a generalized semiparametric model with repeated measurements, AIC for the Lasso in generalized linear models, Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization, Identification of homogeneous and heterogeneous variables in pooled cohort studies, Variable selection and inference procedures for marginal analysis of longitudinal data with missing observations and covariate measurement error, Least informative distributions in maximum \(q\)-log-likelihood estimation, Model selection via Bayesian information capacity designs for generalised linear models, Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes, Variable selection for spatial autoregressive models, A penalized approach to covariate selection through quantile regression coefficient models, Selection of Latent Variables for Multiple Mixed-outcome Models, An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity, Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics, Marginal maximum likelihood estimation methods for the tuning parameters of ridge, power ridge, and generalized ridge regression, Sparse group lasso for multiclass functional logistic regression models, Radial basis function approximation of noisy scattered data on the sphere, AIC for the non-concave penalized likelihood method, Functional index coefficient models with variable selection, Globally adaptive quantile regression with ultra-high dimensional data, Sparse wavelet estimation in quantile regression with multiple functional predictors, The LASSO on latent indices for regression modeling with ordinal categorical predictors, Variables selection using \(\mathcal{L}_0\) penalty, Regularization in dynamic random‐intercepts models for analysis of longitudinal data, Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach, Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models, A modified information criterion for tuning parameter selection in 1d fused LASSO for inference on multiple change points, Individual Data Protected Integrative Regression Analysis of High-Dimensional Heterogeneous Data, Consistent tuning parameter selection in high-dimensional group-penalized regression, Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso, \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors, Variable selection in linear mixed effects models, Local RBF-based penalized least-squares approximation on the sphere with noisy scattered data, A penalized likelihood method for structural equation modeling, Latent Network Structure Learning From High-Dimensional Multivariate Point Processes, Tuning parameter selection in fused lasso signal approximator with false discovery rate control, Further asymptotic properties of the generalized information criterion, Calibrating nonconvex penalized regression in ultra-high dimension, Variable selection for varying dispersion beta regression model, Variable selection approach for zero-inflated count data via adaptive lasso, Lasso penalized model selection criteria for high-dimensional multivariate linear regression analysis, The optimal selection for restricted linear models with average estimator, A systematic review on model selection in high-dimensional regression, Variable selection of generalized regression models based on maximum rank correlation, Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures, On estimation and selection of autologistic regression models via penalized pseudolikelihood, Targeted Random Projection for Prediction From High-Dimensional Features, Evaluation of generalized degrees of freedom for sparse estimation by replica method, Weighted \(\ell_1\)-penalized corrected quantile regression for high dimensional measurement error models, Shrinkage estimation of the linear model with spatial interaction, Sparse regression for large data sets with outliers, Convex and non-convex regularization methods for spatial point processes intensity estimation, Informative Estimation and Selection of Correlation Structure for Longitudinal Data, Variable selection for general transformation models with ranking data, Variable selection in joint mean and dispersion models via double penalized likelihood, A polynomial algorithm for best-subset selection problem, Variable selection in ROC regression, Estimation and testing for partially linear single-index models, Selection by partitioning the solution paths, Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model, A study on tuning parameter selection for the high-dimensional lasso, Multi-Resolution Functional ANOVA for Large-Scale, Many-Input Computer Experiments, Discussion on “Two-Stage Procedures for High-Dimensional Data” by Makoto Aoshima and Kazuyoshi Yata, Multi-species distribution modeling using penalized mixture of regressions, Tuning Parameter Selection in Penalized Frailty Models, Variable selection in joint modelling of the mean and variance for hierarchical data, Model Selection via Bayesian Information Criterion for Quantile Regression Models, Global optimal model selection for high-dimensional survival analysis, Fast forward selection for generalized estimating equations with a large number of predictor variables, Tuning parameter calibration for \(\ell_1\)-regularized logistic regression, A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection, Estimating the number of components in finite mixture models via the group-sort-fuse procedure, Selecting the tuning parameter in penalized Gaussian graphical models, Correlation structure selection for longitudinal data with diverging cluster size, Variable selection and estimation in generalized linear models with the seamless ${\it L}_{{\rm 0}}$ penalty, Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models, Tuning Parameter Selector for the Penalized Likelihood Method in Multivariate Generalized Linear Models, A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors, Efficient Penalized Estimation for Linear Regression Model
