Adjusted Adaptive LASSO in High-Dimensional Poisson Regression Model

@inproceedings{Algamal2015AdjustedAL,
  title={Adjusted Adaptive LASSO in High-Dimensional Poisson Regression Model},
  author={Zakariya Yahya Algamal and Muhammad Hisyam Lee},
  year={2015}
}
The LASSO has been widely studied and used in many applications, but it not shown oracle properties. Depending on a consistent initial parameters vector, an adaptive LASSO showed oracle properties, which it is consistent in variable selection and asymptotically normal in coefficient estimation. In Poisson regression model, the usual adaptive LASSO using maximum likelihood coefficient estimators can result in very poor performance when there is multicollinearity. In this study, we proposed an… CONTINUE READING

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