Tuning Parameter Selection Consistency in an Ultrahigh Dimensional Setup: A Comment on the Sure Independence Screening Rule

Journal of Royal Statistical Society, Series B, Vol. 70, pp. 896-897, 2007

Posted: 30 Nov 2008

See all articles by Chenlei Leng

Chenlei Leng

University of Warwick

Hansheng Wang

Peking University - Guanghua School of Management

Date Written: November 27, 2008

Abstract

This is a discussion comment on Fan and Lv's SIS discussion paper.

Keywords: NA

JEL Classification: C5, C51

Suggested Citation

Leng, Chenlei and Wang, Hansheng, Tuning Parameter Selection Consistency in an Ultrahigh Dimensional Setup: A Comment on the Sure Independence Screening Rule (November 27, 2008). Journal of Royal Statistical Society, Series B, Vol. 70, pp. 896-897, 2007 , Available at SSRN: https://ssrn.com/abstract=1308310

Chenlei Leng

University of Warwick ( email )

Gibbet Hill Rd.
Coventry, West Midlands CV4 8UW
United Kingdom

Hansheng Wang (Contact Author)

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

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