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ABSTRACT:
SUBMITTER: Bradic J
PROVIDER: S-EPMC3094588 | biostudies-literature | 2011 Jun
REPOSITORIES: biostudies-literature
Bradic Jelena J Fan Jianqing J Wang Weiwei W
Journal of the Royal Statistical Society. Series B, Statistical methodology 20110601 3
In high-dimensional model selection problems, penalized least-square approaches have been extensively used. This paper addresses the question of both robustness and efficiency of penalized model selection methods, and proposes a data-driven weighted linear combination of convex loss functions, together with weighted L(1)-penalty. It is completely data-adaptive and does not require prior knowledge of the error distribution. The weighted L(1)-penalty is used both to ensure the convexity of the pen ...[more]