Search results for " non-convex penalty function"

Variable Selection with Quasi-Unbiased Estimation: the CDF Penalty

2022

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.