A uniform framework for the combination of penalties in generalized structured models

Volume: 11, Issue: 1, Pages: 97 - 120
Published: Apr 29, 2015
Abstract
Penalized estimation has become an established tool for regularization and model selection in regression models. A variety of penalties with specific features are available and effective algorithms for specific penalties have been proposed. But not much is available to fit models with a combination of different penalties. When modeling the rent data of Munich as in our application, various types of predictors call for a combination of a Ridge, a...
Paper Details
Title
A uniform framework for the combination of penalties in generalized structured models
Published Date
Apr 29, 2015
Volume
11
Issue
1
Pages
97 - 120
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