Variable Selection in Nonparametric Classification Via Measurement Error Model Selection Likelihoods
基于测量误差模型选择似然的非参数分类变量选择
Using the relationships among ridge regression, LASSO estimation, and measurement error attenuation as motivation, a new measurement-error-model-based approach to variable selection is developed. After describing the approach in the familiar context of linear regression, we apply it to the problem of variable selection in nonparametric classification, resulting in a new kernel-based classifier with LASSO-like shrinkage and variable-selection properties. Finite-sample…