SLOPE-ADAPTIVE VARIABLE SELECTION VIA CONVEX OPTIMIZATION

• Published in: The annals of applied statistics Vol. 9; no. 3; p. 1103
• Main Authors: Bogdan, Małgorzata, van den Berg, Ewout, Sabatti, Chiara, Su, Weijie, Candès, Emmanuel J
• Format: Journal Article
• Language: English
• Published: United States 01.09.2015
• Subjects: sorted ℓ1 penalized estimation (SLOPE); Sparse regression; variable selection; false discovery rate; Lasso

We introduce a new estimator for the vector of coefficients in the linear model = + , where has dimensions with possibly larger than . SLOPE, short for Sorted L-One Penalized Estimation, is the solution to [Formula: see text]where λ ≥ λ ≥ … ≥ λ ≥ 0 and [Formula: see text] are the decreasing absolute...