Distributional results for thresholding estimators in high-dimensional Gaussian regression models

DOI10.1214/11-EJS659zbMath1271.62149arXiv1106.6002OpenAlexW3104845868MaRDI QIDQ1952253

Benedikt M. Pötscher, Ulrike Schneider

Publication date: 28 May 2013

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

Full work available at URL: https://arxiv.org/abs/1106.6002

zbMATH Keywords

asymptotic distributionsvariable selectionvariance estimationoracle propertyuniform convergence ratehigh-dimensional modeladaptive Lassopenalized maximum likelihoodfinite-sample distributions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Point estimation (62F10) Exact distribution theory in statistics (62E15)

Related Items (7)

Valid post-selection inference ⋮ The adaptive Lasso in high-dimensional sparse heteroscedastic models ⋮ On consistency for time series model selection ⋮ Confidence sets in sparse regression ⋮ Uniformly valid confidence sets based on the Lasso ⋮ Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models ⋮ On various confidence intervals post-model-selection

Cites Work

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• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
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