On the consistency of coordinate-independent sparse estimation with BIC

DOI10.1016/j.jmva.2012.04.014zbMath1273.62135OpenAlexW2075167090MaRDI QIDQ450881

Changliang Zou, Xin Chen

Publication date: 26 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.04.014

zbMATH Keywords

consistencyvariable selectionBICsufficient dimension reductioncentral subspacecoordinate-independent

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Model averaging assisted sufficient dimension reduction, Model-free envelope dimension selection, Some aspects of response variable selection and estimation in multivariate linear regression

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