On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property

DOI10.1016/j.jeconom.2015.02.012zbMath1331.62345WikidataQ57437388 ScholiaQ57437388MaRDI QIDQ494167

Shuva Gupta, Arindam Chatterjee, Soumendra Nath Lahiri

Publication date: 31 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.012

zbMATH Keywords

weak convergence; regularization; Brownian bridge; prediction intervals; oracle property; asymptotic uniform linearity

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

Related Items

Thresholding least-squares inference in high-dimensional regression models

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