Improving Lasso for model selection and prediction

DOI10.1111/SJOS.12546zbMath1496.62120arXiv1907.03025OpenAlexW3176552377MaRDI QIDQ5043783

Wojciech Rejchel, Michał Frej, Piotr Pokarowski, Jan Mielniczuk, Agnieszka Sołtys

Publication date: 6 October 2022

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.03025

zbMATH Keywords

empirical processselection consistencyhigh-dimensional regressiongeneralized information criterionpenalized estimationconvex loss function

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (1)

DMRnet

Uses Software

• R
• sparsenet

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