Degrees of freedom for piecewise Lipschitz estimators

DOI10.1214/17-AIHP822zbMath1393.62034arXiv1601.03524WikidataQ129912210 ScholiaQ129912210MaRDI QIDQ1650119

Niels Richard Hansen, Frederik Riis Mikkelsen

Publication date: 29 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03524

zbMATH Keywords

degrees of freedombest subset selectionStein's lemmalasso-OLS

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (6)

Degrees of freedom for off-the-grid sparse estimation ⋮ Degrees of freedom for piecewise Lipschitz estimators ⋮ On Stein's unbiased risk estimate for reduced rank estimators ⋮ Prediction error after model search ⋮ On Degrees of Freedom of Projection Estimators With Applications to Multivariate Nonparametric Regression ⋮ Exception sets of intrinsic and piecewise Lipschitz functions

Uses Software

• glmnet
• selectiveInference

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exact post-selection inference, with application to the Lasso
• Degrees of freedom in lasso problems
• Bounds of Hausdorff measures of tame sets
• Statistics for high-dimensional data. Methods, theory and applications.
• Aggregation by exponential weighting, sharp PAC-Bayesian bounds and sparsity
• Relaxed Lasso
• On the degrees of freedom in shrinkage estimation
• Estimation of the mean of a multivariate normal distribution
• Degrees of freedom for piecewise Lipschitz estimators
• On the degrees of freedom in shape-restricted regression.
• Least angle regression. (With discussion)
• The Lasso problem and uniqueness
• On the ``degrees of freedom of the lasso
• Strong oracle optimality of folded concave penalized estimation
• Degrees of freedom and model search
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• A study of error variance estimation in Lasso regression
• On Measuring and Correcting the Effects of Data Mining and Model Selection
• The Little Bootstrap and Other Methods for Dimensionality Selection in Regression: X-Fixed Prediction Error
• The Estimation of Prediction Error

This page was built for publication: Degrees of freedom for piecewise Lipschitz estimators