The predictive Lasso

DOI10.1007/s11222-011-9279-3zbMath1252.62075arXiv1009.2302OpenAlexW1964804880MaRDI QIDQ693339

Chenlei Leng, David J. Nott, Minh-Ngoc Tran

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.2302

zbMATH Keywords

Kullback-Leibler divergenceoptimal predictionvariable selectiongeneralized linear models

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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