Uniformly valid confidence sets based on the Lasso

DOI10.1214/18-EJS1425zbMath1392.62079arXiv1507.05315MaRDI QIDQ1753143

Ulrike Schneider, Karl Ewald

Publication date: 28 May 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.05315

zbMATH Keywords

confidence regionsparsityvalid inference

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (6)

On the distribution, model selection properties and uniqueness of the Lasso estimator in low and high dimensions ⋮ Uniformly valid inference based on the Lasso in linear mixed models ⋮ Bootstrapping some GLM and survival regression variable selection estimators ⋮ Honest Confidence Sets for High-Dimensional Regression by Projection and Shrinkage ⋮ A reweighted symmetric smoothed function approximating \(L_0\)-norm regularized sparse reconstruction method ⋮ Pattern recovery and signal denoising by SLOPE when the design matrix is orthogonal

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