Variable Inclusion and Shrinkage Algorithms - Radchenko, Peter; James, Gareth M (Journal of the American Statistical Association, 2008)
Keywords: Algorithms; Applications; Branch & bound algorithms; Coefficients; Correlations; Covariance; Dantzig selector; Datasets; Error rates; Exact sciences and technology; Feature selection; Forecasts; General topics; Generalized linear model; Generalized linear models; Justification; Lasso; Linear analysis; Linear inference, regression; Mathematical analysis; Mathematical independent variables; Mathematics; Methodology; Modeling; Parametric inference; Probability and statistics; Regression analysis; Sciences and techniques of general use; Statistical analysis; Statistical methods; Statistics; Structural analysis; Theory and Methods; Variable coefficients; Variable selection; Variables; Ridge regression; Rank statistic; Estimation error; Generalized linear model; Error estimation; Linear regression; Lasso; Shrinkage estimator; Algorithm; Linear model; Dantzig selector; Parametric method; Statistical method; Statistical regression; Regression coefficient; Selection problem; Simulation; Regression model; Law of large numbers; Application; Variable selection