A Confidence Region Approach to Tuning for Variable Selection
نویسندگان
چکیده
منابع مشابه
A Confidence Region Approach to Tuning for Variable Selection.
We develop an approach to tuning of penalized regression variable selection methods by calculating the sparsest estimator contained in a confidence region of a specified level. Because confidence intervals/regions are generally understood, tuning penalized regression methods in this way is intuitive and more easily understood by scientists and practitioners. More importantly, our work shows tha...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2012
ISSN: 1061-8600,1537-2715
DOI: 10.1080/10618600.2012.679890