Sure Independence Screening for Ultrahigh Dimensional Feature Space

DOI10.1111/j.1467-9868.2008.00674.xzbMath1411.62187arXivmath/0612857OpenAlexW2154560360WikidataQ42087328 ScholiaQ42087328MaRDI QIDQ4632602

Jinchi Lv, Jianqing Fan

Publication date: 30 April 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612857

zbMATH Keywords

variable selection dimensionality reduction Dantzig selector Lasso adaptive Lasso sure independence screening sure screening oracle estimator smoothly clipped absolute deviation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Point estimation (62F10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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