Construct · 1 fields · 1 citations

minimax concave penalty: a standalone construct

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Statistics

a nonconvex penalty that tapers to zero penalization for large coefficients, giving nearly unbiased selection in high-dimensional regression.

In statistics, minimax concave penalty refers to a nonconvex penalty that tapers to zero penalization for large coefficients, giving nearly unbiased selection in high-dimensional regression. This meaning comes from Zhang (2010) in The Annals of Statistics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

minimax3 fields · 4 citationsinvariant · one construct, three settings regression4 fields · 5 citationsjingle · one word, four constructs selection4 fields · 5 citationsjingle · one word, four constructs

References

Zhang, C. (2010). Nearly unbiased variable selection under minimax concave penalty. The Annals of Statistics, 38(2), 894-942. https://doi.org/10.1214/09-aos729

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