The CDF penalty:sparse and quasi unbiased estimation in regression models
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Publication:78939
DOI10.48550/ARXIV.2212.08582arXiv2212.08582MaRDI QIDQ78939
Luigi Augugliaro, Vito M. R. Muggeo, Daniele Cuntrera
Publication date: 16 December 2022
Abstract: In high-dimensional regression modelling, the number of candidate covariates to be included in the predictor is quite large, and variable selection is crucial. In this work, we propose a new penalty able to guarantee both sparse variable selection, i.e. exactly zero regression coefficient estimates, and quasi-unbiasedness for the coefficients of 'selected' variables in high dimensional regression models. Simulation results suggest that our proposal performs no worse than its competitors while always ensuring that the solution is unique.
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