Calibrating nonconvex penalized regression in ultra-high dimension
نویسندگان
چکیده
منابع مشابه
Calibrating Non-convex Penalized Regression in Ultra-high Dimension.
We investigate high-dimensional non-convex penalized regression, where the number of covariates may grow at an exponential rate. Although recent asymptotic theory established that there exists a local minimum possessing the oracle property under general conditions, it is still largely an open problem how to identify the oracle estimator among potentially multiple local minima. There are two mai...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2013
ISSN: 0090-5364
DOI: 10.1214/13-aos1159