Local Shrinkage Rules, Lévy Processes and Regularized Regression
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Publication:5743138
DOI10.1111/j.1467-9868.2011.01015.xzbMath1411.62209arXiv1010.3390OpenAlexW1923906081MaRDI QIDQ5743138
James G. Scott, Nicholas G. Polson
Publication date: 9 May 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/1010.3390
Lévy processespartial least squaresshrinkagesparsitynormal scale mixturesprincipal components regression
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)
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