Least squares after model selection in high-dimensional sparse models

DOI10.3150/11-BEJ410zbMath1456.62066arXiv1001.0188MaRDI QIDQ1952433

Victor Chernozhukov, Alexandre Belloni

Publication date: 30 May 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.0188

zbMATH Keywords

LassoOLS post-Lassopost-model selection estimators

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20)

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