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SCAD准则
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SCAD准则
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smoothly clipped absolute deviation
SCAD准则
为了解决Lasso(least absolute shrinkage and selection operator)回归系数估计偏差并让系数估计具有更优的性质的一种方法。尽管回归模型(least absolute shrinkage and selection operator,Lasso)提供了一种可以同时变量选择和参数估计的方法,且为后来众多带惩罚的正则化方法(regularization methods)奠定了基础,但是Lasso回归系数估计本身是有偏的,这是因为Lasso对所有系数都给予相同的惩罚。为此,Jianqing Fan和Runze Li在2001年提出SCAD(smoothly clipped absolute deviation)惩罚回归方法,对解决此类问题有着重要意义。
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