Marginalized lasso in sparse regression

Lee, S; Kim, S

Lee, S (reprint author), Hankuk Univ Foreign Studies, Dept Stat, Yongin, South Korea.

JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2019; 48 (3): 396

Abstract

We propose marginalized lasso, a new nonconvex penalization for variable selection in regression problem. The marginalized lasso penalty is motivated ......

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