Weak signals in high‐dimensional regression: Detection, estimation and prediction

DOI10.1002/ASMB.2340zbMath1436.62341OpenAlexW2803818599WikidataQ91014225 ScholiaQ91014225MaRDI QIDQ5213967

Hyokyoung Grace Hong, Yanming Li, Yi Li, S. Ejaz Ahmed

Publication date: 6 February 2020

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/149319

zbMATH Keywords

high-dimensional datavariable selectionweak signal detectionLassopost-selection shrinkage estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical aspects of big data and data science (62R07)

Related Items (4)

A weak‐signal‐assisted procedure for variable selection and statistical inference with an informative subsample ⋮ Weak Signal Identification and Inference in Penalized Likelihood Models for Categorical Responses ⋮ Adaptive estimation strategies in gamma regression model ⋮ Shrinkage estimation of semi-parametric spatial autoregressive panel data model with fixed effects

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