Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso

DOI10.1016/j.jeconom.2017.11.005zbMath1386.62020arXiv1410.4208OpenAlexW2774241305WikidataQ109043099 ScholiaQ109043099MaRDI QIDQ1706454

Mehmet Caner, Anders Bredahl Kock

Publication date: 22 March 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.4208

zbMATH Keywords

asymptotic distributionconfidence intervalshigh-dimensional datatestshonest inferenceuniform inferenceconservative Lasso

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15)

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Uses Software

• covTest

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