• Corpus ID: 88522121

Variable Selection for High-dimensional Generalized Linear Models using an Iterated Conditional Modes/Medians Algorithm

  title={Variable Selection for High-dimensional Generalized Linear Models using an Iterated Conditional Modes/Medians Algorithm},
  author={Vitara Pungpapong and Min Zhang and Dabao Zhang},
  journal={arXiv: Methodology},
High-dimensional linear and nonlinear models have been extensively used to identify associations between response and explanatory variables. The variable selection problem is commonly of interest in the presence of massive and complex data. An empirical Bayes model for high-dimensional generalized linear models (GLMs) is considered in this paper. The extension of the Iterated Conditional Modes/Medians (ICM/M) algorithm is proposed to build up a GLM. With the construction of pseudodata and… 
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