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
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: 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
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