Asymptotics for Lasso-type estimators.

DOI10.1214/AOS/1015957397zbMATH Open1105.62357OpenAlexW1968694834MaRDI QIDQ1848830FDOQ1848830

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1015957397

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Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (only showing first 100 items - show all)

Shrinkage estimation of dynamic panel data models with interactive fixed effects
Globally adaptive quantile regression with ultra-high dimensional data
Robust and sparse estimators for linear regression models
Selection of components and degrees of smoothing via Lasso in high dimensional nonparametric additive models
Penalized least squares approximation methods and their applications to stochastic processes
Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects
Constructing optimal sparse portfolios using regularization methods
Asymptotic Analysis for a Stochastic Second-Order Cone Programming and Applications
A Note on Prediction Error with Collinearity
Robust error density estimation in ultrahigh dimensional sparse linear model
A multivariate adaptive stochastic search method for dimensionality reduction in classification
Mixed-rates asymptotics
Alternating direction method of multipliers for a class of nonconvex and nonsmooth problems with applications to background/foreground extraction
Comparison of lasso type estimators for high-dimensional data
Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
On the distribution, model selection properties and uniqueness of the Lasso estimator in low and high dimensions
Statistics with set-valued functions: applications to inverse approximate optimization
The discovery of mean square error consistency of a ridge estimator
Broken adaptive ridge regression and its asymptotic properties
Necessary and sufficient conditions for variable selection consistency of the Lasso in high dimensions
Penalty methods for a class of non-Lipschitz optimization problems
Low complexity regularization of linear inverse problems
Penalised robust estimators for sparse and high-dimensional linear models
Theoretical properties of the overlapping groups Lasso
Constrained estimation using penalization and MCMC
Nonlinear GCV and quasi-GCV for shrinkage models
Variable selection for recurrent event data with informative censoring
Sparse system identification for stochastic systems with general observation sequences
Likelihood adaptively modified penalties
Leave-one-out cross-validation is risk consistent for Lasso
Non-concave penalization in linear mixed-effect models and regularized selection of fixed effects
Comparing two samples by penalized logistic regression
Bayesian bridge regression
Functional linear regression for functional response via sparse basis selection
Peaceman-Rachford splitting for a class of nonconvex optimization problems
Mixed Lasso estimator for stochastic restricted regression models
Selection of tuning parameters in bridge regression models via Bayesian information criterion
Asymptotics for argmin processes: convexity arguments
SICA for Cox's proportional hazards model with a diverging number of parameters
Shrinkage estimation of varying covariate effects based on quantile regression
Lasso-type estimation for covariate-adjusted linear model
Dimension reduction based linear surrogate variable approach for model free variable selection
On a generalization of the test of endogeneity in a two stage least squares estimation
A sparse eigen-decomposition estimation in semiparametric regression
Feature selection guided by structural information
The quantile process under random censoring
SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS
Greedy forward regression for variable screening
Variable selection for recurrent event data via nonconcave penalized estimating function
Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
Semiparametric model building for regression models with time-varying parameters
Robust adaptive Lasso for variable selection
Shrinkage estimation of the linear model with spatial interaction
B spline variable selection for the single index models
Shrinkage and model selection with correlated variables via weighted fusion
Penalized expectile regression: an alternative to penalized quantile regression
Robust Wasserstein profile inference and applications to machine learning
APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001
Sequential Lasso cum EBIC for feature selection with ultra-high dimensional feature space
Variable selection via RIVAL (removing irrelevant variables amidst lasso iterations) and its application to nuclear material detection
Least angle regression. (With discussion)
A regularization-based adaptive test for high-dimensional GLMs
High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
On stepwise pattern recovery of the fused Lasso
The adaptive Lasso in high-dimensional sparse heteroscedastic models
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A penalty approach to differential item functioning in Rasch models
Sparse estimation of conditional graphical models with application to gene networks
Does modeling lead to more accurate classification? A study of relative efficiency in linear classification
Variable selection for Cox's proportional hazards model and frailty model
Penalized MM regression estimation with \(L_\gamma\) penalty: a robust version of bridge regression
Shrinkage estimation for linear regression with ARMA errors
Penalized maximum likelihood estimation of a stochastic multivariate regression model
Group selection in high-dimensional partially linear additive models
Adaptive Dantzig density estimation
Fully Bayes factors with a generalized \(g\)-prior
Bootstrap based inference for sparse high-dimensional time series models
A classification point-of-view about conditional Kendall's tau
Bayesian variable selection and estimation for group Lasso
Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
Estimation and accuracy after model selection
Nonconcave penalized likelihood with a diverging number of parameters.
Quantile regression for longitudinal data
Adaptive LASSO for general transformation models with right censored data
Bridge estimators and the adaptive Lasso under heteroscedasticity
Simultaneous analysis of Lasso and Dantzig selector
Determination of vector error correction models in high dimensions
Some theoretical results on the grouped variables Lasso
Penalized estimation in additive varying coefficient models using grouped regularization
Parametric component detection and variable selection in varying-coefficient partially linear models
Robust regression through the Huber's criterion and adaptive lasso penalty
On the distribution of the adaptive LASSO estimator
High-dimensional graphs and variable selection with the Lasso
The finite sample properties of sparse M-estimators with pseudo-observations
A majorization-minimization approach to variable selection using spike and slab priors
Sparse regression with exact clustering
A note on adaptive group Lasso
\(\ell_1\)-penalized quantile regression in high-dimensional sparse models
Model selection by LASSO methods in a change-point model

Uses Software

PDCO

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