Preconditioning for classical relationships: a note relating ridge regression and OLS \(p\)-values to preconditioned \textit{sparse} penalized regression

DOI10.1002/sta4.86MaRDI QIDQ6538497

Karl Rohe

Publication date: 14 May 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

model selectionpreconditioningridge regressionLassobackward elimination

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Nearly unbiased variable selection under minimax concave penalty
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• ``Preconditioning for feature selection and regression in high-dimensional problems
• Least angle regression. (With discussion)
• Signal Recovery From Random Measurements Via Orthogonal Matching Pursuit
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• A general theory of concave regularization for high-dimensional sparse estimation problems

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