Best subset selection is robust against design dependence

Some comments on c p c_{p}

Mallows, C. L · 1973

Earlier work this paper cites.

A new look at the statistical model identification

Akaike, H · 1974

Earlier work this paper cites.

Estimating the dimension of a model

Schwarz, G · 1978

Earlier work this paper cites.

Regression shrinkage and selection via the lasso

Tibshirani, R · 1996

Earlier work this paper cites.

Information theory and an extension of the maximum likelihood principle

Akaike, H · 1998

Earlier work this paper cites.

Atomic decomposition by basis pursuit

Chen, S. S · 1998

Earlier work this paper cites.

Risk bounds for model selection via penalization

Barron, A · 1999

Earlier work this paper cites.

Variable selection via nonconcave penalized likelihood and its oracle properties

Fan, J · 2001

Earlier work this paper cites.

Least angle regression

Efron, B · 2004

Earlier work this paper cites.

Nonconcave penalized likelihood with a diverging number of parameters

Fan, J · 2004

Earlier work this paper cites.

Regularization and variable selection via the elastic net

Original

Zou, H · 2005

Earlier work this paper cites.

On model selection consistency of Lasso

Zhao, P · 2006

Earlier work this paper cites.

The adaptive Lasso and its oracle properties

Zou, H · 2006

Earlier work this paper cites.

Iterative thresholding for sparse approximations

Blumensath, T · 2008

Earlier work this paper cites.

Sure independence screening for ultrahigh dimensional feature space

Fan, J · 2008

Cited alongside, same era.

Iterative hard thresholding for compressed sensing

Blumensath, T · 2009

Cited alongside, same era.

Cosamp: Iterative signal recovery from incomplete and inaccurate samples

Needell, D · 2009

Cited alongside, same era.

High dimensional variable selection

Wasserman, L · 2009

Cited alongside, same era.

Nearly unbiased variable selection under minimax concave penalty

Zhang, C.-H · 2010

Cited alongside, same era.

Statistics for High-Dimensional Data: Methods, Theory and Applications

Bühlmann, P · 2011

Cited alongside, same era.

Better subset regression

Xiong, S · 2014

Later among the works it cites.

Variable selection is hard

Foster, D · 2015

Later among the works it cites.

Regularized M-estimators with nonconvexity: Statistical and algorithmic theory for local optima

Loh, P.-L · 2015

Later among the works it cites.

Best subset selection via a modern optimization lens

Bertsimas, D · 2016

Later among the works it cites.

FRED-MD: A monthly database for macroeconomic research

McCracken, M. W · 2016

Later among the works it cites.

Probability in high dimension

van Handel, R · 2016

Later among the works it cites.

Extended comparisons of best subset selection, forward stepwise selection, and the lasso