Consistent covariate selection and post model selection inference in semiparametric regression.

DOI10.1214/009053604000000247zbMath1092.62045arXivmath/0406465MaRDI QIDQ1879925

Florentina Bunea

Publication date: 15 September 2004

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

Full work available at URL: https://arxiv.org/abs/math/0406465

zbMATH Keywords

semiparametric regression; oracle inequalities; penalized least squares; consistent covariate selection; post model selection inference

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62J02: General nonlinear regression

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Two-stage model selection procedures in partially linear regression, MODEL SELECTION AND INFERENCE: FACTS AND FICTION, Automatic model selection for partially linear models, SPADES and mixture models, Positive shrinkage, improved pretest and absolute penalty estimators in partially linear models, On the distribution of the adaptive LASSO estimator, Aggregation for Gaussian regression, Consistent variable selection in high dimensional regression via multiple testing, SHRINKAGE, PRETEST AND ABSOLUTE PENALTY ESTIMATORS IN PARTIALLY LINEAR MODELS

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