Sequential feature screening for generalized linear models with sparse ultra-high dimensional data

DOI10.1007/s11424-020-8273-2zbMath1448.62116OpenAlexW3022474813MaRDI QIDQ2200110

Hang Wang, Jiajia Zhang, Jun-ying Zhang, Ri-quan Zhang

Publication date: 15 September 2020

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-020-8273-2

zbMATH Keywords

variable selectiongeneralized linear modelvariable screeningsequential iterationextended Bayesian information criteria (extended BIC)sequential Lasso

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12) Statistical aspects of information-theoretic topics (62B10) Sequential estimation (62L12)

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