Penalized Composite Quasi-Likelihood for Ultrahigh Dimensional Variable Selection
用于超高维变量选择的惩罚复合准似然
Summary In high dimensional model selection problems, penalized least square approaches have been extensively used. The paper addresses the question of both robustness and efficiency of penalized model selection methods and proposes a data-driven weighted linear combination of convex loss functions, together with weighted L1-penalty. It is completely data adaptive and does not require prior knowledge of the error distribution. The weighted L1-penalty is used both to ensure…