Ontology highlight
ABSTRACT:
SUBMITTER: Frommlet F
PROVIDER: S-EPMC4743917 | biostudies-literature | 2016
REPOSITORIES: biostudies-literature
Frommlet Florian F Nuel Grégory G
PloS one 20160205 2
Penalized selection criteria like AIC or BIC are among the most popular methods for variable selection. Their theoretical properties have been studied intensively and are well understood, but making use of them in case of high-dimensional data is difficult due to the non-convex optimization problem induced by L0 penalties. In this paper we introduce an adaptive ridge procedure (AR), where iteratively weighted ridge problems are solved whose weights are updated in such a way that the procedure co ...[more]