Covariate assisted screening and estimation

DOI10.1214/14-AOS1243zbMath1310.62085arXiv1205.4645OpenAlexW2134838351WikidataQ24288829 ScholiaQ24288829MaRDI QIDQ482879

Zheng Tracy Ke, Jiashun Jin, Jianqing Fan

Publication date: 6 January 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4645

zbMATH Keywords

Hamming distancephase diagramvariable selectionsparsityasymptotic minimaxitygraph of least favorables (GOLF)graph of strong dependence (GOSD)multivariate screeningrare and weak signal model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Minimax procedures in statistical decision theory (62C20)

Related Items

Covariate Information Number for Feature Screening in Ultrahigh-Dimensional Supervised Problems, The Kendall interaction filter for variable interaction screening in high dimensional classification problems, Inference for sparse linear regression based on the leave-one-covariate-out solution path, Which bridge estimator is the best for variable selection?, Covariate assisted screening and estimation, Adaptive Sparse Estimation With Side Information, Variable selection in functional regression models: a review, Higher criticism for large-scale inference, especially for rare and weak effects

Uses Software

• glasso
• ScreenClean

Cites Work

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