High-dimensional regression and classification under a class of convex loss functions

DOI10.4310/SII.2013.V6.N2.A11zbMATH Open1327.62404MaRDI QIDQ897181

Yuan Jiang, Chunming Zhang

Publication date: 17 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

oracle propertyhigh-dimensional modelconvex lossoptimal Bayes ruleweighted \(L_1\) penalty

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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