Shrinkage tuning parameter selection with a diverging number of parameters

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 71, Issue 3, 2009, Pages 671-683

  Wang, Hansheng ^a,d   Li, Bo ^b   Leng, Chenlei ^c  

^a PEKING UNIVERSITY   (China)

^b TSINGHUA UNIVERSITY   (China)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^d Peking University   (China)

Author keywords

Bayesian information criterion; Diverging number of parameters; Lasso; Smoothly clipped absolute deviation

Indexed keywords

EID: 66849138434     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/j.1467-9868.2008.00693.x     Document Type: Article

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