6533b7d6fe1ef96bd12675b2
RESEARCH PRODUCT
Variable selection with unbiased estimation: the CDF penalty
Daniele CuntreraVito MuggeoLuigi Augugliarosubject
Variable selection L1-type penalty LASSO SCAD MCPdescription
We propose a new SCAD-type penalty in general regression models. The new penalty can be considered a competitor of the LASSO, SCAD or MCP penalties, as it guarantees sparse variable selection, i.e., null regression coefficient estimates, while attenuating bias for the non-null estimates. In this work, the method is discussed, and some comparisons are presented.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2022-01-01 |