Discussion of ``Correlated variables in regression: clustering and sparse estimation

DOI10.1016/j.jspi.2013.05.022zbMath1432.62213OpenAlexW2088903186MaRDI QIDQ5965587

Rajen D. Shah, Richard J. Samworth

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.05.022

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

A component lasso ⋮ Weak signals in high‐dimensional regression: Detection, estimation and prediction

Cites Work

• Stability Selection
• Variable Selection with Error Control: Another Look at Stability Selection