A Consistent and Scalable Algorithm for Best Subset Selection in Single Index Models

no code implementations • 12 Sep 2023 • Borui Tang, Jin Zhu, Junxian Zhu, Xueqin Wang, Heping Zhang

SIMs provide an interpretable and flexible modeling framework for high-dimensional data, while best subset selection aims to find a sparse model from a large set of predictors.

Model Selection regression

Best-Subset Selection in Generalized Linear Models: A Fast and Consistent Algorithm via Splicing Technique

no code implementations • 1 Aug 2023 • Junxian Zhu, Jin Zhu, Borui Tang, Xuanyu Chen, Hongmei Lin, Xueqin Wang

In high-dimensional generalized linear models, it is crucial to identify a sparse model that adequately accounts for response variation.

Computational Efficiency Variable Selection