Appl Stoch Models Bus Ind 2019 Mar-Apr;35(2):283-298. Epub 2018 May 25.
Department of Biostatistics, University of Michigan, Ann Arbor, MI 48109 USA.
Regularization methods, including Lasso, group Lasso and SCAD, typically focus on selecting variables with strong effects while ignoring weak signals. This may result in biased prediction, especially when weak signals outnumber strong signals. This paper aims to incorporate weak signals in variable selection, estimation and prediction. Read More