Variance estimation in high-dimensional linear regression via adaptive elastic-net

DOI10.3934/JIMO.2023094MaRDI QIDQ6065189zbMATH OpenFDO

Authors

Publication date 11 December 2023

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/JIMO.2023094

zbMATH Keywords

high-dimensional regressionnatural adaptive elastic-netvariance estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Research data for problems pertaining to numerical analysis (65-11) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• \(\ell_{1}\)-penalization for mixture regression models
• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Adaptive robust variable selection
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Estimating the error variance in a high-dimensional linear model
• Estimation of error variance via ridge regression
• First-order methods in optimization
• Nearly unbiased variable selection under minimax concave penalty
• On the adaptive elastic net with a diverging number of parameters
• Regression Shrinkage and Selection via The Lasso: A Retrospective
• Scaled sparse linear regression
• Simultaneous analysis of Lasso and Dantzig selector
• The Adaptive Lasso and Its Oracle Properties
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variance estimation in high-dimensional linear models
• Variance estimation using refitted cross-validation in ultrahigh dimensional regression
• Within group variable selection through the exclusive Lasso

Cited in

(1)

• The adaptive elastic net variable selection for linear mixed effects models based on the orthogonal projection

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