An upper bound for functions of estimators in high dimensions

DOI10.1080/07474938.2020.1808370MaRDI QIDQ5861046zbMATH OpenOpenAlexFDO

Authors Mehmet Caner, X. Han

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.02636

zbMATH Keywords

Lassomany restrictionsmany assets

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: We provide an upper bound as a random variable for the functions of estimators in high dimensions. This upper bound may help establish the rate of convergence of functions in high dimensions. The upper bound random variable may converge faster, slower, or at the same rate as estimators depending on the behavior of the partial derivative of the function. We illustrate this via three examples. The first two examples use the upper bound for testing in high dimensions, and third example derives the estimated out-of-sample variance of large portfolios. All our results allow for a larger number of parameters, p, than the sample size, n.

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Cited in

(1)

• HIGH DIMENSIONAL ESTIMATION VIA SUM-OF-SQUARES PROOFS

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