Going beyond oracle property: selection consistency and uniqueness of local solution of the generalized linear model

DOI10.1016/J.STAMET.2016.05.006MaRDI QIDQ670138zbMATH OpenOpenAlexFDO

Authors Chi Tim Ng, Seungyoung Oh, Youngjo Lee

Publication date 18 March 2019

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2016.05.006

zbMATH Keywords

generalized linear modelpenalized likelihood estimationselection consistencyoracle propertySCAD penalty

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Cites work

• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• Comparison of Discrimination Methods for the Classification of Tumors Using Gene Expression Data
• Global optimality of nonconvex penalized estimators
• High-dimensional regression with noisy and missing data: provable guarantees with nonconvexity
• Nonconcave Penalized Likelihood With NP-Dimensionality
• One-step sparse estimates in nonconcave penalized likelihood models
• Regularization and Variable Selection Via the Elastic Net
• Regularized \(M\)-estimators with nonconvexity: statistical and algorithmic theory for local optima
• Sparse canonical covariance analysis for high-throughput data
• Stability Selection
• Strong oracle optimality of folded concave penalized estimation
• Sure independence screening in generalized linear models with NP-dimensionality
• The Concave-Convex Procedure
• The elements of statistical learning. Data mining, inference, and prediction
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• The use of random-effect models for high-dimensional variable selection problems
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(11)

• On Hodges' superefficiency and merits of oracle property in model selection
• Hypothesis testing via a penalized-likelihood approach
• On the strong oracle property of concave penalized estimators with infinite penalty derivative at the origin
• Model selection consistency of \(U\)-statistics with convex loss and weighted Lasso penalty
• The asymptotic properties of SCAD penalized generalized linear models with adaptive designs
• Properties of h‐Likelihood Estimators in Clustered Data
• Removing the singularity of a penalty via thresholding function matching
• Variable selection under multicollinearity using modified log penalty
• A necessary condition for the strong oracle property
• In defense of LASSO
• Global optimality of nonconvex penalized estimators

Describes a project that uses

Uses Software

• scca
• ElemStatLearn

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