Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso
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- Ning Xu & Jian Hong & Timothy C. G. Fisher, 2016. "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," Papers 1606.00142, arXiv.org.
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More about this item
Keywords
Model selection; VC theory; generalization ability; Lasso; high-dimensional data; structural risk minimization; cross validation.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-06-14 (Econometrics)
- NEP-ORE-2016-06-14 (Operations Research)
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