Estimating the error variance in a high-dimensional linear model

DOI10.48550/arXiv.1712.02412zbMath1464.62350arXiv1712.02412OpenAlexW2775219695WikidataQ128276228 ScholiaQ128276228MaRDI QIDQ152045

Guo Yu, Jacob Bien, Guo Yu, Jacob Bien

Publication date: 6 December 2017

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.02412

zbMATH Keywords

Lassoerror variance estimationnatural parameterizationGaussian exponential family

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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