The Penalized Analytic Center Estimator

DOI10.1080/07474938.2015.1092800MaRDI QIDQ5864508zbMATH OpenOpenAlexFDO

Authors Keith Knight

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2015.1092800

zbMATH Keywords

analytic centerDantzig selectorLassoshrinkage estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to economics (62P20)

Recommendations

• Concentration behavior of the penalized least squares estimator
• Asymptotic analysis of penalized likelihood and related estimators
• Penalized Estimating Equations
• Complexity penalized least squares estimators: Analytical results
• scientific article; zbMATH DE number 1833941
• Convergence results of the analytic center estimator
• Penalized projection estimators of the Aalen multiplicative intensity

Cites work

• A coordinate gradient descent method for nonsmooth separable minimization
• Asymptotics for Lasso-type estimators.
• DASSO: Connections Between the Dantzig Selector and Lasso
• scientific article; zbMATH DE number 4163945 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• On the adaptive elastic net with a diverging number of parameters
• Parallelism, uniqueness, and large-sample asymptotics for the Dantzig selector
• Pathwise coordinate optimization
• Regression Shrinkage and Selection via The Lasso: A Retrospective
• Regularization and Variable Selection Via the Elastic Net
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Simultaneous analysis of Lasso and Dantzig selector
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).

Cited in

(5)

• Weak convergence of the regularization path in penalized M-estimation
• A generalized Dantzig selector with shrinkage tuning
• Normalized and standard Dantzig estimators: two approaches
• Model Selection and Shrinkage: An Overview
• Concentration behavior of the penalized least squares estimator

Describes a project that uses

Uses Software

• ElemStatLearn

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