Variable selection and regularization via arbitrary rectangle-range generalized elastic net
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Publication:6172932
DOI10.1007/s11222-023-10240-4zbMath1517.62014arXiv2112.07785MaRDI QIDQ6172932
Zhengming Song, Hansen Chen, Yujia Ding, Qidi Peng
Publication date: 20 July 2023
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.07785
quadratic programmingindex trackingmultiplicative updateshigh-dimensional sparse datarectangle-range generalized elastic net
Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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