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M. Bogdan, E. van den Berg, C. Sabatti, W. Su, and E. J. Candès

We introduce a novel method for sparse regression and variable selection, which is inspired by modern ideas in multiple testing. Imagine we have observations from the linear model , then we suggest estimating the regression coefficients by means of a new estimator called SLOPE, which is the solution to


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  • [1] Y. Benjamini and Y. Hochberg. Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing. Journal of the Royal Statistical Society. Series B (Methodological), 57(1):289–300, 1995

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