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COVARIANCE ASSISTED SCREENING AND ESTIMATION
Consider a linear model Y = X β + z, where X = X(n,p) and z ~ N(0, I(n)). The vector β is unknown and it is of interest to separate its nonzero coordinates from the zero ones (i.e., variable selection). Motivated by examples in long-memory time series (Fan and Yao, 2003) and the change-point problem...
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| Опубликовано в: : | Ann Stat |
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| Главные авторы: | , , |
| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
2014
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| Предметы: | |
| Online-ссылка: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4274608/ https://ncbi.nlm.nih.gov/pubmed/25541567 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/14-AOS1243 |
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