Multivariate regression through affinely weighted penalized least squares

DOI10.1214/12-IMSCOLL904zbMath1327.62419MaRDI QIDQ5499676

Rudolf Beran

Publication date: 30 July 2015

Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)

zbMATH Keywords

quadratic risk; adaptation; unbalanced design; multiple penalties

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)