6533b857fe1ef96bd12b3f81
RESEARCH PRODUCT
Variable Selection with Quasi-Unbiased Estimation: the CDF Penalty
Daniele CuntreraVito MuggeoLuigi Augugliarosubject
Variable selection non-convex penalty function LASSO SCAD MCPdescription
We propose a new non-convex penalty in linear regression models. The new penalty function can be considered a competitor of the LASSO, SCAD or MCP penalties, as it guarantees sparse variable selection while reducing bias for the non-null estimates. We introduce the methodology and present some comparisons among different approaches.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2022-07-01 |