MM for penalized estimation
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DOI: 10.1007/s11749-021-00770-2
Abstract: Penalized estimation can conduct variable selection and parameter estimation simultaneously. The general framework is to minimize a loss function subject to a penalty designed to generate sparse variable selection. The majorization–minimization (MM) algorithm is a… read more here.
Keywords: estimation; loss functions; penalized estimation; nonconvex loss ... See more keywords