Scaled sparse linear regression

@article{Sun2011ScaledSL,
  title={Scaled sparse linear regression},
  author={Tingni Sun and C. Zhang},
  journal={Biometrika},
  year={2011},
  volume={99},
  pages={879-898}
}
Scaled sparse linear regression jointly estimates the regression coefficients and noise level in a linear model. It chooses an equilibrium with a sparse regression method by iteratively estimating the noise level via the mean residual square and scaling the penalty in proportion to the estimated noise level. The iterative algorithm costs little beyond the computation of a path or grid of the sparse regression estimator for penalty levels above a proper threshold. For the scaled lasso, the… Expand
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