Journal
TEST
Volume 15, Issue 2, Pages 271-303Publisher
SPRINGER
DOI: 10.1007/BF02607055
Keywords
regularization; linear regression; nonparametric regression; boosting; covariance matrix; principal component; bootstrap; subsampling; model selection
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This paper is a selective review of the regularization methods scattered in statistics literature. We introduce a general conceptual approach to regularization and fit most existing methods into it. We have tried to focus on the importance of regularization when dealing with today's high-dimensional objects: data and models. A wide range of examples are discussed, including nonparametric regression, boosting, covariance matrix estimation, principal component estimation, subsampling.
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