Variable selection using Kullback-Leibler divergence loss

MaRDI QIDQ4991243zbMATH OpenFDO

Authors Shibasish Dasgupta

Publication date 2 June 2021

zbMATH Keywords

adaptive Lassoasymptotic normalitydivergence lossgeneralized linear modelsKullback-Leibleroracle propertysparsityvariable selection

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Cited in

(3)

• Adaptive weighted learning for linear regression problems via Kullback-Leibler divergence
• Estimation of Kullback-Leibler losses for noisy recovery problems within the exponential family
• Sequential safe feature elimination rule for L₁-regularized regression with Kullback-Leibler divergence

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