Stabilizing the Lasso against cross-validation variability

DOI10.1016/j.csda.2013.09.008zbMath1471.62171OpenAlexW2053277483MaRDI QIDQ1615230

R. Smith

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.09.008

zbMATH Keywords

regularizationshrinkagepenalized regression\(p \gg n\)model-selection

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (5)

Classification tree methods for panel data using wavelet-transformed time series ⋮ Choosing the most relevant level sets for depicting a sample of densities ⋮ Pruning variable selection ensembles ⋮ Influence Diagnostics for High-Dimensional Lasso Regression ⋮ Group penalized quantile regression

Uses Software

• ElemStatLearn
• relaxo
• Bolasso
• boost

Cites Work

• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• Random lasso
• Least angle and \(\ell _{1}\) penalized regression: a review
• Relaxed Lasso
• Least angle regression. (With discussion)
• Variable selection via combined penalization for high-dimensional data analysis
• Stability Selection
• Regularization and Variable Selection Via the Elastic Net

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