Efficient penalized estimation for linear regression model

DOI10.1080/03610926.2012.763094zbMATH Open1328.62460OpenAlexW2053340105MaRDI QIDQ5265841FDOQ5265841

Authors: Guangyu Mao 

Publication date: 29 July 2015

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.763094

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zbMATH Keywords

SCADshrinkageoracle propertyLASSOGMMpenalized least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Nearly unbiased variable selection under minimax concave penalty
• A unified approach to model selection and sparse recovery using regularized least squares
• Estimating the dimension of a model
• Heuristics of instability and stabilization in model selection
• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• One-step sparse estimates in nonconcave penalized likelihood models
• Regularization and Variable Selection Via the Elastic Net
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotics for Lasso-type estimators.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Regularization parameter selections via generalized information criterion
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• On the adaptive elastic net with a diverging number of parameters
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Nonconcave Penalized Likelihood With NP-Dimensionality

Cited In (6)

• Usage of the GO estimator in high dimensional linear models
• Estimator of prediction error based on approximate message passing for penalized linear regression
• Efficient estimates in regression models with highly correlated covariates
• Penalized best linear prediction of true test scores
• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
• Title not available (Why is that?)

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