Lasso for sparse linear regression with exponentially -mixing errors

DOI10.1016/J.SPL.2017.01.023zbMATH Open1457.62216OpenAlexW2585836085MaRDI QIDQ2407765FDOQ2407765

Authors: Fang Xie, Lihu Xu, Youcai Yang 

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.01.023

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• The sparsity and bias of the LASSO selection in high-dimensional linear regression

zbMATH Keywords

Lassoconsistencylinear regression modelsexponentially \(\beta\)-mixing errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07) Stationary stochastic processes (60G10)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Lasso-type recovery of sparse representations for high-dimensional data
• On the conditions used to prove oracle results for the Lasso
• Simultaneous analysis of Lasso and Dantzig selector
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• A significance test for the lasso
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Convergence rates in the strong law for bounded mixing sequences
• Model selection for vector autoregressive processes via adaptive lasso

Cited In (4)

• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• Oracle inequality for sparse trace regression models with exponential \(\beta\)-mixing errors
• Lasso regression in sparse linear model with \(\varphi\)-mixing errors
• Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors

Uses Software

• covTest

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