most citedTrade-off between predictive performance and FDR control for high-dimensional Gaussian model selection

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math.ST2023★ 1 cited

Trade-off between predictive performance and FDR control for high-dimensional Gaussian model selection

Perrine Lacroix, Marie-Laure Martin

In the context of high-dimensional Gaussian linear regression for ordered variables, we study the variable selection procedure via the minimization of the penalized least-squares c…