Sparse Laplacian Shrinkage with the Graphical Lasso Estimator for Regression Problems
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DOI: 10.1007/s11749-021-00779-7
Abstract: This paper considers a high-dimensional linear regression problem where there are complex correlation structures among predictors. We propose a graph-constrained regularization procedure, named Sparse Laplacian Shrinkage with the Graphical Lasso Estimator (SLS-GLE). The procedure uses… read more here.
Keywords: regression; lasso estimator; graphical lasso; laplacian shrinkage ... See more keywords