Search results for " L1-type penalty"

Variable selection with unbiased estimation: the CDF penalty

2022

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.