COORDINATE DESCENT ALGORITHMS FOR NONCONVEX PENALIZED REGRESSION, WITH APPLICATIONS TO BIOLOGICAL FEATURE SELECTION

• Published in: The annals of applied statistics Vol. 5; no. 1; p. 232
• Main Authors: Breheny, Patrick, Huang, Jian
• Format: Journal Article
• Language: English
• Published: United States 01.03.2011

A number of variable selection methods have been proposed involving nonconvex penalty functions. These methods, which include the smoothly clipped absolute deviation (SCAD) penalty and the minimax concave penalty (MCP), have been demonstrated to have attractive theoretical properties, but model fitt...