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A Confidence Region Approach to Tuning for Variable Selection
We develop an approach to tuning of penalized regression variable selection methods by calculating the sparsest estimator contained in a confidence region of a specified level. Because confidence intervals/regions are generally understood, tuning penalized regression methods in this way is intuitive...
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| Main Authors: | , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
2012
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| Subjects: | |
| Online Access: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3568666/ https://ncbi.nlm.nih.gov/pubmed/23407768 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/10618600.2012.679890 |
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