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Thresholding based tests for null hypothesis of the form A beta =c, and the Quantile Universal Threshold (QUT) for lasso regularization of Generalized Linear Models (GLM) and square-root lasso to obtain a sparse model with a good compromise between high true positive rate and low false discovery rate. Giacobino et al. (2017) doi:10.1214/17-EJS1366. Sardy et al. (2017)
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