JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2021, Vol. 56 ›› Issue (9): 81-86.doi: 10.6040/j.issn.1671-9352.0.2020.673

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Variable selection based on DP algorithm

WANG Xiu-li   

  1. School of Statistics, Qufu Normal University, Qufu 273165, Shandong, China
  • Published:2021-09-13

Abstract: This paper proposes a new algorithm to compute the estimates of parameters in the objective function with the penalty function. This algorithm is given based on the DP algorithm, and provides an alternative approach to work out the minimization of penalized least squares function. Simulation studies are conducted to assess the finite sample performance of the proposed algorithm.

Key words: variable selection, penalty function, Penalized-DP algorithm

CLC Number: 

  • O212
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