Misparametrization subsets for penalized least squares model selection
نویسندگان
چکیده
منابع مشابه
Penalized Least Squares and Penalized Likelihood
where pλ(·) is the penalty function. Best subset selection corresponds to pλ(t) = (λ/2)I(t 6= 0). If we take pλ(t) = λ|t|, then (1.2) becomes the Lasso problem (1.1). Setting pλ(t) = at + (1 − a)|t| with 0 ≤ a ≤ 1 results in the method of elastic net. With pλ(t) = |t| for some 0 < q ≤ 2, it is called bridge regression, which includes the ridge regression as a special case when q = 2. Some penal...
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ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2014
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-014-9100-y