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math.ST2019
Improving Lasso for model selection and prediction
Piotr Pokarowski, Wojciech Rejchel, Agnieszka Soltys +2
It is known that the Thresholded Lasso (TL), SCAD or MCP correct intrinsic estimation bias of the Lasso. In this paper we propose an alternative method of improving the Lasso for p…
stat.ME2019★ 6 cited
Rank-based Lasso -- efficient methods for high-dimensional robust model selection
Wojciech Rejchel, Malgorzata Bogdan
We consider the problem of identifying significant predictors in large data bases, where the response variable depends on the linear combination of explanatory variables through an…