On Model Selection Consistency of Lasso

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On Model Selection Consistency of Lasso (2006)

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by Peng Zhao , Bin Yu

Citations:

475 - 20 self

BibTeX

@MISC{Zhao06onmodel,
    author = {Peng Zhao and Bin Yu},
    title = {On Model Selection Consistency of Lasso},
    year = {2006}
}

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Abstract

Sparsity or parsimony of statistical models is crucial for their proper interpretations, as in sciences and social sciences. Model selection is a commonly used method to find such models, but usually involves a computationally heavy combinatorial search. Lasso (Tibshirani, 1996) is now being used as a computationally feasible alternative to model selection.

Keyphrases

model selection consistency proper interpretation statistical model heavy combinatorial search model selection social science

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