Forward selection and estimation in high dimensional single index models

DOI10.1016/j.stamet.2016.09.002zbMath1487.62036WikidataQ57429414 ScholiaQ57429414MaRDI QIDQ670181

Subhashis Ghosal, Shikai Luo

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.2016.09.002

zbMATH Keywords

penalization; variable selection; sparsity; high dimension; forward selection; single index model

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

Uses Software

• glmnet