Variable selection and parameter estimation with the Atan regularization method
Summary: Variable selection is fundamental to high-dimensional statistical modeling. Many variable selection techniques may be implemented by penalized least squares using various penalty functions. In this paper, an arctangent type penalty which very closely resembles \(l_0\) penalty is proposed; we call it Atan penalty. The Atan-penalized least squares procedure is shown to consistently select the correct model and is asymptotically normal, provided the number of variables grows slower than the number of observations. The Atan procedure is efficiently implemented using an iteratively reweighted Lasso algorithm. Simulation results and data example show that the Atan procedure with BIC-type criterion performs very well in a variety of settings.
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- Parameter estimation and variable selection via ArctanLASSO
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- Least angle regression. (With discussion)
- Linear Model Selection by Cross-Validation
- Model Selection via Bayesian Information Criterion for Quantile Regression Models
- Multi-stage convex relaxation for feature selection
- Nearly unbiased variable selection under minimax concave penalty
- Nonconcave penalized likelihood with a diverging number of parameters.
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- On the ``degrees of freedom of the lasso
- On the adaptive elastic net with a diverging number of parameters
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- Partial linear modelling with multi-functional covariates
- Pathwise coordinate optimization
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- Shrinkage tuning parameter selection with a diverging number of parameters
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- The risk inflation criterion for multiple regression
- Tuning parameter selectors for the smoothly clipped absolute deviation method
- Unified LASSO Estimation by Least Squares Approximation
- Variable selection in infinite-dimensional problems
- Variable selection in nonparametric additive models
- Variable selection using MM algorithms
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Variable selection and estimation using a continuous approximation to the \(L_0\) penalty
- On two recent nonconvex penalties for regularization in machine learning
- Laplace error penalty-based variable selection in high dimension
- Parameter estimation and variable selection via ArctanLASSO
- A few theoretical results for Laplace and arctan penalized ordinary least squares linear regression estimators
- An _0-constrained and _1-regularized estimator for graphical models
- A novel nonconvex, smooth-at-origin penalty for statistical learning
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