Fast Cross-validation for Multi-penalty High-dimensional Ridge Regression.
Mark A. van de WielMirrelijn M. van NeeArmin RauschenbergerPublished in: J. Comput. Graph. Stat. (2021)
Keyphrases
- cross validation
- ridge regression
- ls svm
- variable selection
- high dimensional
- model selection
- hyperparameters
- linear regression
- support vector
- generalization error
- training set
- regression methods
- support vector machine
- input variables
- low dimensional
- regression method
- dimensionality reduction
- parameter space
- data points
- high dimensional data
- feature space
- decision trees
- sample size
- nearest neighbor
- high dimensionality
- regression model
- classification accuracy
- parameter estimation
- partial least squares
- least squares