Forecasting economic time series using targeted predictors

Regression Shrinkage and Selection Via the Lasso

Robert Tibshirani · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1996 · 50.3K citations

Engineering, High-dimensional Method, Robust Modeling +14

A Simple Sequentially Rejective Multiple Test Procedure

Sture Holm · Scandinavian Journal of Statistics · 1979 · 21.8K citations

Engineering, Significance Protection, Testing Technique +12

Regularization and Variable Selection Via the Elastic Net

Hui Zou, Trevor Hastie · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2005 · 20.1K citations · Full text

Least angle regression

Bradley Efron, Trevor Hastie, Iain M. Johnstone et al. · The Annals of Statistics · 2004 · 9.4K citations · Full text

Engineering, Machine Learning, Feature Selection +16

Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Jianqing Fan, Runze Li · Journal of the American Statistical Association · 2001 · 9K citations

Parameter Estimation, Engineering, Machine Learning +13