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
The moderate deviation principle for minimizers of convex processes
Overcoming the limitations of phase transition by higher order analysis of regularization techniques
A panel quantile approach to attrition bias in big data: evidence from a randomized experiment
Inference for high-dimensional instrumental variables regression
Adaptive k-class estimation in high-dimensional linear models
Solution paths for the generalized Lasso with applications to spatially varying coefficients regression
Robust estimation of semiparametric transformation model for panel count data
A new double-regularized regression using Liu and Lasso regularization
Targeted Inference Involving High-Dimensional Data Using Nuisance Penalized Regression
Asymptotic theory of \(\ell_1\)-regularized PDE identification from a single noisy trajectory
Consistency bounds and support recovery of d-stationary solutions of sparse sample average approximations
Multiple structural breaks in cointegrating regressions: a model selection approach
Walsh-average based variable selection for varying coefficient models
Objective Bayesian edge screening and structure selection for Ising networks
The law of iterated logarithm for the estimations of diffusion-type processes
Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis
Bayesian bridge-randomized penalized quantile regression for ordinal longitudinal data, with application to firm's bond ratings
Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution
Multiple predicting \(K\)-fold cross-validation for model selection
Bootstrapping Lasso-type estimators in regression models
A unified primal dual active set algorithm for nonconvex sparse recovery
Which bridge estimator is the best for variable selection?
Bayesian bridge-randomized penalized quantile regression
Random weighting in LASSO regression
On LASSO for predictive regression
Perturbation bootstrap in adaptive Lasso
L2RM: Low-Rank Linear Regression Models for High-Dimensional Matrix Responses
Sparse kernel regression with coefficient-based \(\ell_q\)-regularization
The Lasso estimator: distributional properties.
Hypothesis testing in large-scale functional linear regression
Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
Adaptive posterior mode estimation of a sparse sequence for model selection
Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals
Bootstrapping multiple linear regression after variable selection
Un-diversifying during crises: is it a good idea?
Removing the singularity of a penalty via thresholding function matching
Robust change point detection method via adaptive LAD-Lasso
Some improved estimation strategies in high-dimensional semiparametric regression models with application to riboflavin production data
Confidence intervals for parameters in high-dimensional sparse vector autoregression
Ridge-type pretest and shrinkage estimations in partially linear models

Uses Software

PDCO

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