Closed-form Estimators for High-dimensional Generalized Linear Models

NeurIPS 2015 Eunho YangAurelie C. LozanoPradeep K. Ravikumar

We propose a class of closed-form estimators for GLMs under high-dimensional sampling regimes. Our class of estimators is based on deriving closed-form variants of the vanilla unregularized MLE but which are (a) well-defined even under high-dimensional settings, and (b) available in closed-form... (read more)

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