
Covariate Selection in High-Dimensional Generalized Linear Models With Measurement Error
The matrix uncertainty selector is a modification of the Dantzig selector, for the case of variable selection with noisy predictors. In this paper we extend the matrix uncertainty selector to the generalized linear model case, and propose a computationally efficient computational algorithm. Compared to other methods that correct for the effect of measurement error, the matrix uncertainty selector and its extension do not require a precise estimate of the noise variance, which is an advantage in practical use. Published in Journal of Computational and Graphical Statistics.