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《统计学家的共同被引与共同署名网络》答辩回应
We thank David Donoho for very encouraging comments. As always, his penetrating vision and deep thoughts are extremely stimulating. We are glad that he summarizes a major philosophical difference b...
UPS 实现高维变量选择的最优相图
Consider a linear model Y = Xβ + z, z ∼ N(0, In). Here, X = Xn,p, where both p and n are large, but p > n. We model the rows of X as i.i.d. samples from N(0, 1/n Ω), where Ω is a p × p correlation matrix, which is unknown to us but is presumably sparse. The vector β is also unknown but has relatively few nonzero coordinates, and we are interested in identifying these nonzeros. We propose the Univariate Penalization Screeing (UPS) for variable selection. This is a screen and…