Factor-Adjusted Regularized Model Selection
Publication:150847
DOI10.48550/arXiv.1612.08490zbMath1456.62114arXiv1612.08490OpenAlexW3005119431WikidataQ91740386 ScholiaQ91740386MaRDI QIDQ150847
Yuan Ke, Kaizheng Wang, Jianqing Fan, Jianqing Fan, Yuan Ke, Kaizheng Wang
Publication date: 27 December 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.08490
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
- Sure independence screening in generalized linear models with NP-dimensionality
- Nearly unbiased variable selection under minimax concave penalty
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor models and variable selection in high-dimensional regression analysis
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
- One-step sparse estimates in nonconcave penalized likelihood models
- Contour projected dimension reduction
- ARMA model identification
- Estimating the dimension of a model
- Nonconcave penalized likelihood with a diverging number of parameters.
- Least angle regression. (With discussion)
- Asymptotics of empirical eigenstructure for high dimensional spiked covariance
- On model selection consistency of regularized M-estimators
- Simultaneous analysis of Lasso and Dantzig selector
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- High-dimensional graphs and variable selection with the Lasso
- The statistics and mathematics of high dimension low sample size asymptotics
- Eigenvalue Ratio Test for the Number of Factors
- Factor profiled sure independence screening
- Use of canonical analysis in time series model identification
- Forecasting the U.S. Unemployment Rate
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Forecasting Using Principal Components From a Large Number of Predictors
- Sure Independence Screening for Ultrahigh Dimensional Feature Space
- Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
- On Consistency and Sparsity for Principal Components Analysis in High Dimensions
- Determining the Number of Factors in the General Dynamic Factor Model
- Regularization and Variable Selection Via the Elastic Net
- High Dimensional Ordinary Least Squares Projection for Screening Variables
- Optimally sparse representation in general (nonorthogonal) dictionaries via ℓ 1 minimization
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- The Generalized Dynamic Factor Model