Least squares after model selection in high-dimensional sparse models

DOI10.3150/11-BEJ410zbMath1456.62066arXiv1001.0188MaRDI QIDQ1952433

Victor Chernozhukov, Alexandre Belloni

Publication date: 30 May 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.0188

zbMATH Keywords

Lasso; OLS post-Lasso; post-model selection estimators

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62G20: Asymptotic properties of nonparametric inference

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