Regularized Regression with Strongly Correlated Covariates: Theoretical Aspects
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چکیده
This paper studies the ordered weighted `
منابع مشابه
Ordered Weighted `1 Regularized Regression with Strongly Correlated Covariates: Theoretical Aspects
This paper studies the ordered weighted `1 (OWL) family of regularizers for sparse linear regression with strongly correlated covariates. We prove sufficient conditions for clustering correlated covariates, extending and qualitatively strengthening previous results for a particular member of the OWL family: OSCAR (octagonal shrinkage and clustering algorithm for regression). We derive error bou...
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