Tuning-free ridge estimators for high-dimensional generalized linear models

DOI10.1016/J.CSDA.2021.107205OpenAlexW3133860442MaRDI QIDQ830109FDOQ830109

Authors: Shih-Ting Huang, Fang Xie, Johannes Lederer 

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.11916

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zbMATH Keywords

generalized linear modelsridge estimatorhigh-dimensional estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Stability Selection
• Title not available (Why is that?)
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Estimation and testing under sparsity. École d'Été de Probabilités de Saint-Flour XLV -- 2015
• Statistical significance in high-dimensional linear models
• Function minimization by conjugate gradients
• Title not available (Why is that?)
• Estimation in high-dimensional linear models with deterministic design matrices
• Variable Selection with Error Control: Another Look at Stability Selection
• Tuning Parameter Selection in High Dimensional Penalized Likelihood
• Title not available (Why is that?)
• A Practical Scheme and Fast Algorithm to Tune the Lasso With Optimality Guarantees
• Title not available (Why is that?)
• Oracle inequalities for high-dimensional prediction
• Prediction error bounds for linear regression with the TREX
• Tuning parameter calibration for \(\ell_1\)-regularized logistic regression
• Non-Convex Global Minimization and False Discovery Rate Control for the TREX
• Post‐selection inference for ‐penalized likelihood models

Cited In (1)

• Tuning parameter calibration for personalized prediction in medicine

Uses Software

• glmnet

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