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math.ST2015
Group SLOPE - adaptive selection of groups of predictors
Damian Brzyski, Weijie Su, Małgorzata Bogdan
Sorted L-One Penalized Estimation is a relatively new convex optimization procedure which allows for adaptive selection of regressors under sparse high dimensional designs. Here we…
math.ST2015★ 17 cited
False Discoveries Occur Early on the Lasso Path
Weijie Su, Malgorzata Bogdan, Emmanuel Candes
In regression settings where explanatory variables have very low correlations and there are relatively few effects, each of large magnitude, we expect the Lasso to find the importa…