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

DOI10.1016/J.STAMET.2016.05.006zbMATH Open1487.62089OpenAlexW2413683033MaRDI QIDQ670138FDOQ670138

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

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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)

Cites Work

• Sure independence screening in generalized linear models with NP-dimensionality
• The elements of statistical learning. Data mining, inference, and prediction
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Sparse canonical covariance analysis for high-throughput data
• Stability Selection
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• Comparison of Discrimination Methods for the Classification of Tumors Using Gene Expression Data
• Regularization and Variable Selection Via the Elastic Net
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• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• A general theory of concave regularization for high-dimensional sparse estimation problems
• Calibrating nonconvex penalized regression in ultra-high dimension
• Strong oracle optimality of folded concave penalized estimation
• Nonconcave Penalized Likelihood With NP-Dimensionality
• Regularized \(M\)-estimators with nonconvexity: statistical and algorithmic theory for local optima
• Global optimality of nonconvex penalized estimators
• The use of random-effect models for high-dimensional variable selection problems
• A new sparse variable selection via random-effect model

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
• Properties of h‐Likelihood Estimators in Clustered Data
• The asymptotic properties of SCAD penalized generalized linear models with adaptive designs
• 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

Uses Software

• ElemStatLearn
• scca

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