On the non‐negative garrotte estimator

  title={On the non‐negative garrotte estimator},
  author={Ming Yuan and Yi Lin},
  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  • M. Yuan, Yi Lin
  • Published 1 April 2007
  • Mathematics
  • Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Summary.  We study the non‐negative garrotte estimator from three different aspects: consistency, computation and flexibility. We argue that the non‐negative garrotte is a general procedure that can be used in combination with estimators other than the original least squares estimator as in its original form. In particular, we consider using the lasso, the elastic net and ridge regression along with ordinary least squares as the initial estimate in the non‐negative garrotte. We prove that the… 
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