Regularization after retention in ultrahigh dimensional linear regression models

DOI10.5705/ss.202015.0413zbMath1412.62098arXiv1311.5625OpenAlexW2963976736MaRDI QIDQ4626695

Haolei Weng, Yang Feng, Xingye Qiao

Publication date: 28 February 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.5625

zbMATH Keywords

variable selectionselection consistencyLassoindependence screeningretentionpenalized least square

Mathematics Subject Classification ID

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

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