Improving Lasso for model selection and prediction
It is known that the Thresholded Lasso (TL), SCAD or MCP correct intrinsic estimation bias of the Lasso. In this paper we propose an alternative method of improving the Lasso for predictive models with general convex loss functions which encompass normal linear models, logistic regression, quantile...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
John Wiley and Sons Inc
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |