Sparse model selection

FOCI
Stability selection
Relaxed Lasso
Dantzig Selector
Garotte
Degrees-of-freedom penalties
References

On choosing the right model and regularisation parameter in sparse regression, which turn out to be nearly the same, and closely coupled to doing the regression. There are some wrinkles.

🏗 Talk about when degrees-of-freedom penalties work, when cross-validation and so on.

FOCI

The new hotness sweeping the world is FOCI, a sparse model selection procedure (Azadkia and Chatterjee 2019) based on Chatterjee’s ξ statistic as an independence test test. (Chatterjee 2020). Looks interesting.

Stability selection

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For now see mplot for an introduction.

Relaxed Lasso

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Dantzig Selector

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Garotte

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Degrees-of-freedom penalties

See degrees of freedom.

References

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