Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Computation and Smoothing Parameter Selection In Penalized Likelihood Regression

  • Kim Young-Ju (Department of Information and Statistics, Kangwon National University)
  • Published : 2005.12.01
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Abstract

This paper consider penalized likelihood regression with data from exponential family. The fast computation method applied to Gaussian data(Kim and Gu, 2004) is extended to non Gaussian data through asymptotically efficient low dimensional approximations and corresponding algorithm is proposed. Also smoothing parameter selection is explored for various exponential families, which extends the existing cross validation method of Xiang and Wahba evaluated only with Bernoulli data.

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References

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