Trade-off between predictive performance and FDR control for high-dimensional Gaussian model selection

DOI10.1214/24-ejs2260MaRDI QIDQ6595785

Perrine Lacroix, Marie-Laure Martin

Publication date: 30 August 2024

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

zbMATH Keywords

predictionhigh-dimensionFDRGaussian regressionhyperparameter calibrationordered variable selection

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics (62P99)

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