Shrinkage and variable selection by polytopes
نویسندگان
چکیده
منابع مشابه
Shrinkage and Variable Selection by Polytopes
Constrained estimators that enforce variable selection and grouping of highly correlated data have been shown to be successful in finding sparse representations and obtaining good performance in prediction. We consider polytopes as a general class of compact and convex constraint regions. Well established procedures like LASSO (Tibshirani, 1996) or OSCAR (Bondell and Reich, 2008) are shown to b...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2012
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2011.06.020