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Adaptive penalization in high-dimensional regression and classification with external covariates using variational Bayes

Penalization schemes like Lasso or ridge regression are routinely used to regress a response of interest on a high-dimensional set of potential predictors. Despite being decisive, the question of the relative strength of penalization is often glossed over and only implicitly determined by the scale...

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Pubblicato in:Biostatistics
Autori principali: Velten, Britta, Huber, Wolfgang
Natura: Artigo
Lingua:Inglês
Pubblicazione: Oxford University Press 2019
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Accesso online:https://ncbi.nlm.nih.gov/pmc/articles/PMC8036004/
https://ncbi.nlm.nih.gov/pubmed/31596468
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biostatistics/kxz034
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