An extended variable inclusion and shrinkage algorithm for correlated variables

DOI10.1016/j.csda.2012.07.023zbMath1365.62282OpenAlexW1979568080MaRDI QIDQ2359516

Mohamed Ouhourane, Abdallah Mkhadri

Publication date: 29 June 2017

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

Full work available at URL: https://doi.org/10.1016/j.csda.2012.07.023

zbMATH Keywords

linear regressionvariable selectionelastic-netLARSsmooth LassoVISA algorithm

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Statistical ranking and selection procedures (62F07)

Related Items (5)

RandGA: injecting randomness into parallel genetic algorithm for variable selection ⋮ Stochastic correlation coefficient ensembles for variable selection ⋮ Logistic regression with weight grouping priors ⋮ Group penalized quantile regression ⋮ A group VISA algorithm for variable selection

Uses Software

• glmnet
• chemometrics

Cites Work

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• The Adaptive Gril Estimator with a Diverging Number of Parameters
• Variable Inclusion and Shrinkage Algorithms
• DASSO: Connections Between the Dantzig Selector and Lasso
• A generalized Dantzig selector with shrinkage tuning
• Sparsity and Smoothness Via the Fused Lasso
• L 1-Regularization Path Algorithm for Generalized Linear Models
• Regularization and Variable Selection Via the Elastic Net
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

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