Tang, Yanlin; Song, Xinyuan; Wang, Huixia Judy; Zhu, Zhongyi - In: Journal of Multivariate Analysis 122 (2013) C, pp. 115-132
models. The proposed method is based on basis function approximation and LASSO-type penalties. We show that the first stage … penalized estimator with LASSO penalty reduces the model from ultra-high dimensional to a model that has size close to the true … model, but contains the true model as a valid sub model. By applying adaptive LASSO penalty to the reduced model, the second …