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Comparing variable selection techniques for linear regression: LASSO and Autometrics

Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro - HAL - 2013

(automatic general-to-specific selection) and LASSO (ℓ1-norm regularization). In a simulation study, we show the performance of …

Persistent link: https://www.econbiz.de/10011025644

Comparing variable selection techniques for linear regression: LASSO and Autometrics.

Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

(automatic general-to-specific selection) and LASSO (?1-norm regularization). In a simulation study, we show the performance of …

Persistent link: https://www.econbiz.de/10010720623

A review on variable selection in regression analysis

Desboulets, Loann David Denis - In: Econometrics 6 (2018) 4, pp. 1-27

In this paper, we investigate several variable selection procedures to give an overview of the existing literature for practitioners. 'Let the data speak for themselves' has become the motto of many applied researchers since the number of data has significantly grown. Automatic model selection...

Persistent link: https://www.econbiz.de/10011995233

A review on variable selection in regression analysis

Desboulets, Loann David Denis - In: Econometrics : open access journal 6 (2018) 4, pp. 1-27

In this paper, we investigate several variable selection procedures to give an overview of the existing literature for practitioners. “Let the data speak for themselves” has become the motto of many applied researchers since the number of data has significantly grown. Automatic model...

Persistent link: https://www.econbiz.de/10011945783

Stable variable selection for right censored data: comparison of methods

Besse, Philippe; Leconte, Eve; Walschaerts, Marie - Toulouse School of Economics (TSE) - 2012

AIC criterion and the L1-penalization of Lasso. Regarding survival trees, we review two methodologies: the bootstrap node …

Persistent link: https://www.econbiz.de/10010934793

The Dantzig selector in Cox's proportional hazards model

Antoniadis, Anestis; Fryzlewicz, Piotr; Letué, Frédérique - London School of Economics (LSE) - 2010

selection operator (LASSO), this approach sets certain regression coefficients exactly to zero, thus performing variable … selection. However, such a framework, contrary to the LASSO, has never been used in regression models for survival data with …

Persistent link: https://www.econbiz.de/10010745019