Generalized high-dimensional trace regression via nuclear norm regularization

DOI10.1016/j.jeconom.2019.04.026zbMath1452.62536arXiv1710.08083OpenAlexW2963869415MaRDI QIDQ2323374

Ziwei Zhu, Wenyan Gong, Jianqing Fan

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.08083

zbMATH Keywords

matrix completionlogistic regressionhigh-dimensional statisticsnuclear norm regularizationtrace regressionrestricted strong convexity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Uses Software

• PDCO

Cites Work

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