Which bridge estimator is the best for variable selection?

DOI10.1214/19-AOS1906zbMath1456.62147arXiv1705.08617OpenAlexW3087219089MaRDI QIDQ2215760

Arian Maleki, Shuaiwen Wang, Haolei Weng

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.08617

zbMATH Keywords

asymptotic false discovery proportion (AFDP) and true positive proportion (ATPP)two-stage variable selection techniques (TVS)variable selection for linear models asymptotic

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (5)

Variable Selection With Second-Generation P-Values ⋮ A precise high-dimensional asymptotic theory for boosting and minimum-\(\ell_1\)-norm interpolated classifiers ⋮ Characterizing the SLOPE trade-off: a variational perspective and the Donoho-Tanner limit ⋮ A power analysis for Model-X knockoffs with \(\ell_p\)-regularized statistics ⋮ A tradeoff between false discovery and true positive proportions for sparse high-dimensional logistic regression

Uses Software

• ScreenClean

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