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Higher Criticism Thresholding: Optimal Feature Selection when Useful Features are Rare and Weak
Criticism Thresholding Feature Selection
2015/8/21
Linear classi cation analysis is a fundamental tool for science
and technology. In important application elds today { genomics and proteomics are examples { one automatically obtains very high-dimen...
“PRECONDITIONING” FOR FEATURE SELECTION AND REGRESSION IN HIGH-DIMENSIONAL PROBLEMS
Model selection prediction error lasso
2015/8/21
We consider regression problems where the number of predictors greatly exceeds the number of observations. We propose a method for variable selection that first estimates the regression function, yiel...