Efficient test-based variable selection for high-dimensional linear models

DOI10.1016/j.jmva.2018.01.003zbMath1499.62223DBLPjournals/ma/GongZL18arXiv1706.03462OpenAlexW2964254916WikidataQ90909731 ScholiaQ90909731MaRDI QIDQ1749977

Siliang Gong, Kai Zhang, Yu Feng Liu

Publication date: 17 May 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.03462

zbMATH Keywords

cross-validationvariable selectionhigh-dimensional testingmaximal absolute correlation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Uses Software

• covTest

Cites Work

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• Tests for High-Dimensional Regression Coefficients With Factorial Designs
• Spherical Cap Packing Asymptotics and Rank-Extreme Detection
• Sequential Selection Procedures and False Discovery Rate Control

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