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作者:Sang Yong Jung , Chongsun Park
来源:[J].Communications for Statistical Applications and Methods, 2015, Vol.22 (1)CSAM
摘要:In this article, we propose nonconcave penalties on a reduced-rank regression model to select variables and estimate coefficients simultaneously. We apply HARD (hard thresholding) and SCAD (smoothly clipped absolute deviation) symmetric penalty functions with singularities at the...

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