Lasso regression: estimation and shrinkage via the limit of Gibbs sampling
نویسندگان
چکیده
منابع مشابه
LASSO REGRESSION: ESTIMATION AND SHRINKAGE VIA LIMIT OF GIBBS SAMPLING By
The application of the lasso is espoused in high-dimensional settings where only a small number of the regression coefficients are believed to be nonzero (i.e., the solution is sparse). Moreover, statistical properties of high-dimensional lasso estimators are often proved under the assumption that the correlation between the predictors is bounded. In this vein, coordinatewise methods, the most ...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2015
ISSN: 1369-7412
DOI: 10.1111/rssb.12106