A comprehensive guideline for regularization-path variable selection in high-dimensional Gaussian linear regression
高维高斯线性回归中正则化路径变量选择的综合指南
This paper provides a comprehensive comparison of complete regularization-path-based variable selection procedures in high-dimensional Gaussian linear regression. Our simulation study stands out from previous ones for several reasons. First, it offers comprehensive guidelines for complete variable selection, from regularization path construction to final variable subset selection. In particular, we compare jointly two convex regularization functions (Lasso and Elastic-Net)…