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Sparse Poisson Regression with Penalized Weighted Score Function (1703.03965v1)
Published 11 Mar 2017 in math.ST and stat.TH
Abstract: We proposed a new penalized method in this paper to solve sparse Poisson Regression problems. Being different from $\ell_1$ penalized log-likelihood estimation, our new method can be viewed as penalized weighted score function method. We show that under mild conditions, our estimator is $\ell_1$ consistent and the tuning parameter can be pre-specified, which shares the same good property of the square-root Lasso.
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