Prediction consistency of forward iterated regression and selection technique

DOI10.1016/J.SPL.2015.08.005zbMath1357.62243OpenAlexW1423743042WikidataQ57435368 ScholiaQ57435368MaRDI QIDQ900923

Shikai Luo, Subhashis Ghosal

Publication date: 23 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.08.005

zbMATH Keywords

penalizationlinear regressionsparsityhigh dimensionforward selectionprediction consistency

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• FIRST: combining forward iterative selection and shrinkage in high dimensional sparse linear regression
• Statistics for high-dimensional data. Methods, theory and applications.

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