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Prediction and variable selection with the adaptive Lasso
adaptive Lasso prediction restricted eigenvalue thresholding variable selection
2010/3/9
We revisit the adaptive Lasso in a high-dimensional linear model,
and provide bounds for its prediction error and for its number of false positive
selections. We compare the adaptive Lasso with an “...
Adaptive LASSO-type estimation for ergodic diffusion processes
discretely observed diffusion processes model selection oracle proper-ties random fields stochastic differential equations
2010/3/10
The LASSO is a widely used statistical methodology for simultaneous estimation
and variable selection. In the last years, many authors analyzed this technique from
a theoretical and applied point of...
Adaptive Lasso for High Dimensional Regression and Gaussian Graphical Modeling
Adaptive Lasso High Dimensional Regression Gaussian Graphical Modeling
2010/3/18
We show that the two-stage adaptive Lasso procedure (Zou, 2006) is consistent for high-dimensional
model selection in linear and Gaussian graphical models. Our conditions for consistency cover more
...