A Study of Adaptive Elastic Net Estimators with Different Adaptive Weights

摘要

We study the performance of two adaptive elastic net estimation methods where the adaptive weights are constructed using elastic net and least squares estimators. Simulation studies show that two adaptive weights perform differently. When the elastic net estimator is used, the adaptive elastic net performs best in estimation accuracy and variable selection performance. If the least squares estimator is used, the adaptive elastic net has prediction performance better than using the other adaptive weight.

Keywords: adaptive elastic net; elastic net; adaptive weight; L1-penalty; variable selection.