Coordinate great circle descent algorithm with application to single-index models

DOI10.4310/SII.2013.V6.N4.A9MaRDI QIDQ896588zbMATH OpenWikidataFDO

Authors Yichao Wu, Peng Zeng

Publication date 10 December 2015

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/SII.2013.V6.N4.A9

zbMATH Keywords

constrained optimizationcoordinate descent algorithmpenalizationsingle-index modelunit-norm constraint

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Applications of mathematical programming (90C90)

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Cited in

(1)

• A novel regularization method for estimation and variable selection in multi-index models

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