Regularizing LASSO: a consistent variable selection method

DOI10.5705/SS.2013.001MaRDI QIDQ2950200zbMATH OpenOpenAlexFDO

Authors Quefeng Li, Jun Shao

Publication date 8 October 2015

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/8274c58b8d02828367ceead39c91afc57c116b72

zbMATH Keywords

high-dimensional dataregularizationselection consistencysparsitythresholdingLASSO

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(18)

• Strong Rules for Discarding Predictors in Lasso-Type Problems
• Subsampling based variable selection for generalized linear models
• Structured Lasso for regression with matrix covariates
• Stabilizing the Lasso against cross-validation variability
• High-dimensional variable selection with reciprocal \(L_{1}\)-regularization
• A new double-regularized regression using Liu and Lasso regularization
• scientific article; zbMATH DE number 5251637 (Why is no real title available?)
• Necessary and sufficient conditions for variable selection consistency of the Lasso in high dimensions
• Optimized variable selection via repeated data splitting
• Sparse covariance thresholding for high-dimensional variable selection
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• Regularization and Variable Selection Via the Elastic Net
• Independently interpretable Lasso for generalized linear models
• Iterative smooth \(L_{1/2}\) algorithm for variable selection
• Random lasso
• Variable selection via RIVAL (removing irrelevant variables amidst lasso iterations) and its application to nuclear material detection
• Relaxed Lasso

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