A Model-Averaging Approach for High-Dimensional Regression

DOI10.1080/01621459.2013.838168zbMath1367.62209OpenAlexW2108443364MaRDI QIDQ4975348

Ker-Chau Li, Tomohiro Ando

Publication date: 4 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2013.838168

zbMATH Keywords

asymptotic optimalityhigh-dimensional regression modelsmodel weights

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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