Asymptotics for Lasso-type estimators.

From MaRDI portal

Publication:1848830

Jump to:navigation, search

DOI10.1214/aos/1015957397zbMath1105.62357OpenAlexW1968694834MaRDI QIDQ1848830

Wenjiang Fu, Keith Knight

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

Mathematics Subject Classification ID

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

Related Items

Sparse high-dimensional fractional-norm support vector machine via DC programming, 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, Best subset selection via a modern optimization lens, Penalized least squares approximation methods and their applications to stochastic processes, Bayesian regularized regression based on composite quantile method, Sparse estimators and the oracle property, or the return of Hodges' estimator, Exact post-selection inference, with application to the Lasso, Inference for single-index quantile regression models with profile optimization, Nearly-singular design in GMM and generalized empirical likelihood estimators, Variable selection for recurrent event data via nonconcave penalized estimating function, On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding, The use of vector bootstrapping to improve variable selection precision in Lasso models, The benefit of group sparsity in group inference with de-biased scaled group Lasso, Thresholding least-squares inference in high-dimensional regression models, AIC for the Lasso in generalized linear models, Penalised inference for lagged dependent regression in the presence of autocorrelated residuals, Adaptive bridge estimation for high-dimensional regression models, Robust and sparse estimators for linear regression models, Robust Bayesian regularized estimation based on \(t\) regression model, Variable selection and parameter estimation with the Atan regularization method, Bayesian group bridge for bi-level variable selection, On stepwise pattern recovery of the fused Lasso, Strong consistency of Lasso estimators, Robust variable selection of joint frailty model for panel count data, Identification of local sparsity and variable selection for varying coefficient additive hazards models, Studies of the adaptive network-constrained linear regression and its application, Moderately clipped Lasso, The dual and degrees of freedom of linearly constrained generalized Lasso, The adaptive Lasso in high-dimensional sparse heteroscedastic models, Rates of convergence of the adaptive LASSO estimators to the oracle distribution and higher order refinements by the bootstrap, Statistical significance in high-dimensional linear models, Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression, Subset selection for vector autoregressive processes via adaptive Lasso, Globally adaptive quantile regression with ultra-high dimensional data, Feature selection in machine learning: an exact penalty approach using a difference of convex function algorithm, Bridge estimators and the adaptive Lasso under heteroscedasticity, The quantile process under random censoring, Shrinkage estimation of dynamic panel data models with interactive fixed effects, Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso, Consistent group selection in high-dimensional linear regression, Dimension reduction based linear surrogate variable approach for model free variable selection, Shrinkage estimation for linear regression with ARMA errors, Adaptive Dantzig density estimation, Group selection in high-dimensional partially linear additive models, Simultaneous estimation and variable selection in median regression using Lasso-type penalty, Coordinate ascent for penalized semiparametric regression on high-dimensional panel count data, Non-convex penalized estimation in high-dimensional models with single-index structure, Oracle properties of SCAD-penalized support vector machine, LASSO and shrinkage estimation in Weibull censored regression models, A majorization-minimization approach to variable selection using spike and slab priors, Sparsity with sign-coherent groups of variables via the cooperative-Lasso, Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood, Regularization and variable selection for infinite variance autoregressive models, On latent process models in multi-dimensional space, Parametric component detection and variable selection in varying-coefficient partially linear models, Quadratic approximation on SCAD penalized estimation, Variable selection in a class of single-index models, P-splines quantile regression estimation in varying coefficient models, Selection of tuning parameters in bridge regression models via Bayesian information criterion, Does modeling lead to more accurate classification? A study of relative efficiency in linear classification, SICA for Cox's proportional hazards model with a diverging number of parameters, Fully Bayes factors with a generalized \(g\)-prior, A new perspective on least squares under convex constraint, One-step sparse estimates in nonconcave penalized likelihood models, The sparsity and bias of the LASSO selection in high-dimensional linear regression, ``Preconditioning for feature selection and regression in high-dimensional problems, On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property, Semiparametric model building for regression models with time-varying parameters, Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso, Shrinkage estimation of the linear model with spatial interaction, CUE with many weak instruments and nearly singular design, Shrinkage and model selection with correlated variables via weighted fusion, A sparse eigen-decomposition estimation in semiparametric regression, Adaptive LASSO for general transformation models with right censored data, A multivariate adaptive stochastic search method for dimensionality reduction in classification, On asymptotically optimal confidence regions and tests for high-dimensional models, Smoothing methods for nonsmooth, nonconvex minimization, Confidence intervals for high-dimensional inverse covariance estimation, Feature selection guided by structural information, Estimating the dimension of a model, Lasso-type recovery of sparse representations for high-dimensional data, Some theoretical results on the grouped variables Lasso, Honest confidence regions and optimality in high-dimensional precision matrix estimation, Model selection by LASSO methods in a change-point model, Penalized estimation in additive varying coefficient models using grouped regularization, Shrinkage estimation of varying covariate effects based on quantile regression, Support vector machines with adaptive \(L_q\) penalty, Relaxed Lasso, SCAD-penalized regression in high-dimensional partially linear models, On the distribution of the adaptive LASSO estimator, Elastic-net regularization in learning theory, Subset selection for vector autoregressive processes using Lasso, A nonlinear multi-dimensional variable selection method for high dimensional data: sparse MAVE, A note on adaptive group Lasso, Selection of components and degrees of smoothing via Lasso in high dimensional nonparametric additive models, Asymptotics for argmin processes: convexity arguments, Sparse estimation in functional linear regression, Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates, Penalized likelihood regression for generalized linear models with non-quadratic penalties, Robust estimation of semiparametric transformation model for panel count data, Nonconcave penalized likelihood with a diverging number of parameters., Least angle regression. (With discussion), Quantile regression for longitudinal data, A new double-regularized regression using Liu and Lasso regularization, Objective Bayesian edge screening and structure selection for Ising networks, The law of iterated logarithm for the estimations of diffusion-type processes, Robust error density estimation in ultrahigh dimensional sparse linear model, Random weighting in LASSO regression, On LASSO for predictive regression, Test by adaptive Lasso quantile method for real-time detection of a change-point, Robust change point detection method via adaptive LAD-Lasso, Removing the singularity of a penalty via thresholding function matching, On the distribution, model selection properties and uniqueness of the Lasso estimator in low and high dimensions, Moment convergence in regularized estimation under multiple and mixed-rates asymptotics, Moment convergence of regularized least-squares estimator for linear regression model, An improved algorithm for the \(L_2-L_p\) minimization problem, B spline variable selection for the single index models, Peaceman-Rachford splitting for a class of nonconvex optimization problems, The moderate deviation principle for minimizers of convex processes, Inference for high-dimensional instrumental variables regression, Variable selection via RIVAL (removing irrelevant variables amidst lasso iterations) and its application to nuclear material detection, Debiasing the debiased Lasso with bootstrap, Variable selection and parameter estimation for partially linear models via Dantzig selector, Variable selection and estimation using a continuous approximation to the \(L_0\) penalty, Local variable selection of nonlinear nonparametric systems by first order expansion, A group adaptive elastic-net approach for variable selection in high-dimensional linear regression, Theoretical properties of the overlapping groups Lasso, Sparse least trimmed squares regression for analyzing high-dimensional large data sets, Comparing two samples by penalized logistic regression, On the asymptotic properties of the group lasso estimator for linear models, Thresholding-based iterative selection procedures for model selection and shrinkage, On Lasso for censored data, Confidence sets based on penalized maximum likelihood estimators in Gaussian regression, Sparse regression with exact clustering, Robust regression through the Huber's criterion and adaptive lasso penalty, Distributional results for thresholding estimators in high-dimensional Gaussian regression models, Bridge estimation for generalized linear models with a diverging number of parameters, Penalized maximum likelihood estimation of a stochastic multivariate regression model, Which bridge estimator is the best for variable selection?, The optimal selection for restricted linear models with average estimator, Sparse-group independent component analysis with application to yield curves prediction, A generalized bridge regression in fuzzy environment and its numerical solution by a capable recurrent neural network, Regularized bridge-type estimation with multiple penalties, A classification point-of-view about conditional Kendall's tau, Penalized empirical likelihood for partially linear errors-in-variables models, Maximum a posteriori estimators as a limit of Bayes estimators, Statistics with set-valued functions: applications to inverse approximate optimization, Determination of vector error correction models in high dimensions, Overcoming the limitations of phase transition by higher order analysis of regularization techniques, Uniformly valid confidence sets based on the Lasso, On penalized estimation for dynamical systems with small noise, Lasso with long memory regression errors, High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood, A panel quantile approach to attrition bias in big data: evidence from a randomized experiment, Sparse system identification for stochastic systems with general observation sequences, Solution paths for the generalized Lasso with applications to spatially varying coefficients regression, Iterative reweighted noninteger norm regularizing SVM for gene expression data classification, The discovery of mean square error consistency of a ridge estimator, Nonlinear GCV and quasi-GCV for shrinkage models, Consistency bounds and support recovery of d-stationary solutions of sparse sample average approximations, On a monotone scheme for nonconvex nonsmooth optimization with applications to fracture mechanics, Bridge regression: adaptivity and group selection, Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis, A flexible shrinkage operator for fussy grouped variable selection, Time-varying Lasso, Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution, Bayesian bridge-randomized penalized quantile regression for ordinal longitudinal data, with application to firm's bond ratings, High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}, Variable selection for structural equation with endogeneity, Broken adaptive ridge regression and its asymptotic properties, A unified primal dual active set algorithm for nonconvex sparse recovery, Necessary and sufficient conditions for variable selection consistency of the Lasso in high dimensions, Bootstrap based inference for sparse high-dimensional time series models, Bayesian bridge-randomized penalized quantile regression, Semiparametric efficiency bounds for high-dimensional models, Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator, AIC for the group Lasso in generalized linear models, Asymptotic theory of the adaptive sparse group Lasso, Ridge-type pretest and shrinkage estimations in partially linear models, Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals, Perturbation bootstrap in adaptive Lasso, Bootstrapping multiple linear regression after variable selection, Non-concave penalization in linear mixed-effect models and regularized selection of fixed effects, Oracle inequalities for weighted group Lasso in high-dimensional misspecified Cox models, Bootstrapping Lasso-type estimators in regression models, Un-diversifying during crises: is it a good idea?, The finite sample properties of sparse M-estimators with pseudo-observations, Confidence intervals for parameters in high-dimensional sparse vector autoregression, A note on rank reduction in sparse multivariate regression, Smoothly adaptively centered ridge estimator, Localized Gaussian width of \(M\)-convex hulls with applications to Lasso and convex aggregation, Sparse parameter identification of stochastic dynamical systems, Penalized robust estimators in sparse logistic regression, Frequentist model averaging in structural equation modelling, Variable selection for Cox's proportional hazards model and frailty model, Visualization and assessment of model selection uncertainty, On skewed Gaussian graphical models, Constrained estimation using penalization and MCMC, Data analysis in supersaturated designs., On the impact of model selection on predictor identification and parameter inference, Variable selection in the additive rate model for recurrent event data, Adaptive group bridge estimation for high-dimensional partially linear models, Bridge Estimators in the Partially Linear Model with High Dimensionality, Penalized Gaussian Process Regression and Classification for High-Dimensional Nonlinear Data, Group variable selection in cardiopulmonary cerebral resuscitation data for veterinary patients, Linearly Constrained Non-Lipschitz Optimization for Image Restoration, CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type, Estimating spatial covariance using penalised likelihood with weightedL₁penalty, SCAD-Penalized Least Absolute Deviation Regression in High-Dimensional Models, Variable selection and inference procedures for marginal analysis of longitudinal data with missing observations and covariate measurement error, A component lasso, Spike and slab variable selection: frequentist and Bayesian strategies, Simultaneous analysis of Lasso and Dantzig selector, On the adaptive elastic net with a diverging number of parameters, Variable selection for recurrent event data with informative censoring, A note on the asymptotic distribution of lasso estimator for correlated data, Variable selection in identification of a high dimensional nonlinear non-parametric system, APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001, Unnamed Item, Monte Carlo Simulation for Lasso-Type Problems by Estimator Augmentation, Penalised robust estimators for sparse and high-dimensional linear models, AIC for the non-concave penalized likelihood method, Penalized expectile regression: an alternative to penalized quantile regression, Exponential squared loss based robust variable selection of AR models, Penalized MM regression estimation withL_γpenalty: a robust version of bridge regression, Non-asymptotic oracle inequalities for the Lasso and Group Lasso in high dimensional logistic model, Some improved estimation strategies in high-dimensional semiparametric regression models with application to riboflavin production data, Asymptotic properties of bridge estimators in sparse high-dimensional regression models, Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators, Unnamed Item, Statistical inference via conditional Bayesian posteriors in high-dimensional linear regression, Support union recovery in high-dimensional multivariate regression, Regression on manifolds: estimation of the exterior derivative, \(\ell_1\)-penalized quantile regression in high-dimensional sparse models, New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models, Adaptive Lasso for generalized linear models with a diverging number of parameters, Complexity of unconstrained \(L_2 - L_p\) minimization, A superlinearly convergent \(R\)-regularized Newton scheme for variational models with concave sparsity-promoting priors, Structural inference in sparse high-dimensional vector autoregressions, Learning and estimation applications of an online homotopy algorithm for a generalization of the LASSO, Multiple structural breaks in cointegrating regressions: a model selection approach, SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES, Variable Selection in Semiparametric Linear Regression with Censored Data, The adaptive L1-penalized LAD regression for partially linear single-index models, Multiple predictingK-fold cross-validation for model selection, LASSO-TYPE GMM ESTIMATOR, L2RM: Low-Rank Linear Regression Models for High-Dimensional Matrix Responses, Rank-based estimation in the ℓ1-regularized partly linear model for censored outcomes with application to integrated analyses of clinical predictors and gene expression data, Greedy forward regression for variable screening, Model selection approaches for non-linear system identification: a review, On the ``degrees of freedom of the lasso, A Robust Alternative to the Schemper-Henderson Estimator of Prediction Error, Penalised variable selection with U-estimates, Rodeo: Sparse, greedy nonparametric regression, Mixed-rates asymptotics, Sparse Estimation of Conditional Graphical Models With Application to Gene Networks, ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS, A Note on Prediction Error with Collinearity, Unnamed Item, High-Dimensional Cox Models: The Choice of Penalty as Part of the Model Building Process, High-dimensional graphs and variable selection with the Lasso, Variable Selection for Semiparametric Varying Coefficient Partially Linear Errors-in-Variables (EV) Model with Missing Response, Asymptotic properties of the residual bootstrap for Lasso estimators, Low Complexity Regularization of Linear Inverse Problems, Lazy lasso for local regression, Leave-one-out cross-validation is risk consistent for Lasso, Walsh-average based variable selection for varying coefficient models, Bridge Estimation for Linear Regression Models with Mixing Properties, Functional linear regression for functional response via sparse basis selection, Adaptive Posterior Mode Estimation of a Sparse Sequence for Model Selection, Covariate Selection for the Semiparametric Additive Risk Model, Variable Selection for Panel Count Data via Non-Concave Penalized Estimating Function, PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS, Lasso with convex loss: Model selection consistency and estimation, Multiple Response Regression for Gaussian Mixture Models with Known Labels, SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS, Robust adaptive Lasso for variable selection, SLASSO: a scaled LASSO for multicollinear situations, Estimation and Accuracy After Model Selection, Sequential Lasso Cum EBIC for Feature Selection With Ultra-High Dimensional Feature Space, Regularized Estimation for the Accelerated Failure Time Model, Covariate selection for accelerated failure time data, The Doubly Adaptive LASSO for Vector Autoregressive Models, Adaptive Lasso in high-dimensional settings, ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION, The adaptive BerHu penalty in robust regression, High-dimensional posterior consistency of the Bayesian lasso, Weak Convergence of the Regularization Path in Penalized M-Estimation, Parallelism, uniqueness, and large-sample asymptotics for the Dantzig selector, An interior point method for \(L_{1 / 2}\)-SVM and application to feature selection in classification, Variable selection and estimation in generalized linear models with the seamless ${\it L}_{{\rm 0}}$ penalty, Sure Independence Screening for Ultrahigh Dimensional Feature Space, The Adaptive Gril Estimator with a Diverging Number of Parameters, Lasso penalized semiparametric regression on high-dimensional recurrent event data via coordinate descent, Inference for single and multiple change-points in time series, Regularized Estimation in the Accelerated Failure Time Model with High-Dimensional Covariates, Variable selection and estimation for semi-parametric multiple-index models, A penalty approach to differential item functioning in Rasch models, Constructing optimal sparse portfolios using regularization methods, The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models, Efficient estimation of panel count data with dependent observation process, An additive Cox model for coronary heart disease study, Bayesian bridge regression, Asymptotic Analysis for a Stochastic Second-Order Cone Programming and Applications, Automated Estimation of Heavy-Tailed Vector Error Correction Models, A robust and efficient variable selection method for linear regression, Using Improved Robust Estimators to Semiparametric Model with High Dimensional Data, Variable Selection With Second-Generation P-Values, Bayesian bootstrap adaptive lasso estimators of regression models, Unnamed Item, Unnamed Item, Optimal regression parameter-specific shrinkage by plug-in estimation, A unified class of penalties with the capability of producing a differentiable alternative to l₁ norm penalty, Sparsely restricted penalized estimators, Sparse linear regression models of high dimensional covariates with non-Gaussian outliers and Berkson error-in-variable under heteroscedasticity, Oracle GMM estimation for misspecified models via thresholding, Penalized empirical likelihood for generalized linear models with longitudinal data, On a generalization of the test of endogeneity in a two stage least squares estimation, Double shrunken selection operator, Adaptive k-class estimation in high-dimensional linear models, Review of Bayesian selection methods for categorical predictors using JAGS, Asymptotic Theory of \(\boldsymbol \ell _1\) -Regularized PDE Identification from a Single Noisy Trajectory, Oracle M‐Estimation for Time Series Models, Difference-of-Convex Learning: Directional Stationarity, Optimality, and Sparsity, Targeted Inference Involving High-Dimensional Data Using Nuisance Penalized Regression, Doubly majorized algorithm for sparsity-inducing optimization problems with regularizer-compatible constraints, What is the effective sample size of a spatial point process?, Functional Group Bridge for Simultaneous Regression and Support Estimation, Weighted Bayesian bootstrap for scalable posterior distributions, A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series, SCAD‐penalized quantile regression for high‐dimensional data analysis and variable selection, Regularization in dynamic random‐intercepts models for analysis of longitudinal data, Sparse concordance‐based ordinal classification, Global debiased DC estimations for biased estimators via pro forma regression, A weak‐signal‐assisted procedure for variable selection and statistical inference with an informative subsample, Model selection for time series with nonlinear trend, Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables, Automatic selection by penalized asymmetric L _q -norm in a high-dimensional model with grouped variables, Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach, Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression, Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation, Bootstrapping some GLM and survival regression variable selection estimators, Controlling False Discovery Rate Using Gaussian Mirrors, Support Recovery and Parameter Identification of Multivariate ARMA Systems with Exogenous Inputs, Wild bootstrap inference for penalized quantile regression for longitudinal data, Tuning parameter selection for penalized estimation via \(R^2\), Debiased Lasso for stratified Cox models with application to the national kidney transplant data, Factor-augmented Model for Functional Data, Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data, Distributed adaptive lasso penalized generalized linear models for big data, Variable selection and regularization via arbitrary rectangle-range generalized elastic net, Proximal gradient method with extrapolation and line search for a class of non-convex and non-smooth problems, Unnamed Item, Variable selection in the high-dimensional continuous generalized linear model with current status data, Sparse group variable selection based on quantile hierarchical Lasso, Grouped penalization estimation of the osteoporosis data in the traditional Chinese medicine, UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS, Unnamed Item, Unnamed Item, Unnamed Item, A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models, Lasso-type estimation for covariate-adjusted linear model, MODEL SELECTION AND INFERENCE: FACTS AND FICTION, Unnamed Item, Consistent parameter estimation for Lasso and approximate message passing, Penalty Methods for a Class of Non-Lipschitz Optimization Problems, Positive False Discovery Rate Estimate in Step-Wise Variable Selection, Variable selection in partially linear wavelet models, On the grouped selection and model complexity of the adaptive elastic net, A general theory of concave regularization for high-dimensional sparse estimation problems, Editors' introduction, Computation of second-order directional stationary points for group sparse optimization, Likelihood adaptively modified penalties, Penalized regression models with autoregressive error terms, Shrinkage and penalized estimation in semi-parametric models with multicollinear data, Unnamed Item, Estimation of Individualized Decision Rules Based on an Optimized Covariate-Dependent Equivalent of Random Outcomes, Robust Wasserstein profile inference and applications to machine learning, Quantile estimation of partially varying coefficient model for panel count data with informative observation times, Unnamed Item, Unnamed Item, On the grouped selection and model complexity of the adaptive elastic net, Monitoring sequential structural changes in penalized high-dimensional linear models, Bootstrap inference for penalized GMM estimators with oracle properties, Mixed Lasso estimator for stochastic restricted regression models, A non-convex regularization approach for stable estimation of loss development factors, Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models, The Penalized Analytic Center Estimator, Moderate deviations for quantile regression processes, Efficient Penalized Estimation for Linear Regression Model, Alternating Direction Method of Multipliers for a Class of Nonconvex and Nonsmooth Problems with Applications to Background/Foreground Extraction

Uses Software

PDCO

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1848830&oldid=14230885"