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On the Adaptive Elastic-Net with a Diverging Number of Parameters

We consider the problem of model selection and estimation in situations where the number of parameters diverges with the sample size. When the dimension is high, an ideal method should have the oracle property [J. Amer Statist. Assoc. 96 (2001) 1348-1360] and [Ann. Statist. 32 (2004) 928-961]... Full description

1st Person: Zou, Hui
Additional Persons: Zhang, Hao Helen verfasserin
Source: in The annals of statistics : an official journal of the Institute of Mathematical Statistics Vol. 37, No. 4 (2009), p. 1733-1751
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Type of Publication: Article
Language: English
Published: 2009
Keywords: research-article
Primary 62J05
Secondary 62J07
Adaptive regularization
elastic-net
high dimensionality
model selection
oracle property
shrinkage methods
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