Efficient penalized estimation for linear regression model

DOI10.1080/03610926.2012.763094MaRDI QIDQ5265841zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

SCADshrinkageoracle propertyLASSOGMMpenalized least squares

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(6)

• Penalized best linear prediction of true test scores
• Estimator of prediction error based on approximate message passing for penalized linear regression
• Usage of the GO estimator in high dimensional linear models
• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
• Efficient estimates in regression models with highly correlated covariates
• scientific article; zbMATH DE number 6982301 (Why is no real title available?)

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