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Nearly unbiased variable selection under minimax concave penalty
Variable selection model selection penalized estimation leastsquares correct selection minimax unbiasedness mean squared error
2010/3/10
We propose MC+, a fast, continuous, nearly unbiased and accu-
rate method of penalized variable selection in high-dimensional linear
regression. The LASSO is fast and continuous, but biased. The bia...
Space Alternating Penalized Kullback Proximal Point Algorithms for Maximing Likelihood with Nondifferentiable Penalty
EM Algorithm Maximum Likelihood Estimation Sparsity Model Selection Space Alternating Algorithm Nonsmooth Penalty
2010/3/17
The EM algorithm is a widely used methodology for penalized likelihood
estimation. Provable monotonicity and convergence are the hallmarks
of the EM algorithm and these properties are well establish...