Lasso for sparse linear regression with exponentially -mixing errors

DOI10.1016/J.SPL.2017.01.023MaRDI QIDQ2407765zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

consistencyexponentially \(\beta\)-mixing errorsLassolinear regression models

Mathematics Subject Classification ID

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

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Cites work

• A significance test for the lasso
• Convergence rates in the strong law for bounded mixing sequences
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Lasso-type recovery of sparse representations for high-dimensional data
• Least angle regression. (With discussion)
• Model selection for vector autoregressive processes via adaptive lasso
• On the conditions used to prove oracle results for the Lasso
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Simultaneous analysis of Lasso and Dantzig selector
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(5)

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

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Uses Software

• covTest

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