Asymptotic properties of bridge estimators in sparse high-dimensional regression models

DOI10.1214/009053607000000875zbMath1133.62048arXiv0804.0693OpenAlexW1983590837MaRDI QIDQ2426616

Joel L. Horowitz, Jian Huang, Shuangge Ma

Publication date: 23 April 2008

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

Full work available at URL: https://arxiv.org/abs/0804.0693

zbMATH Keywords

asymptotic normality high-dimensional data variable selection penalized regression oracle property

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency, Adaptive group bridge estimation for high-dimensional partially linear models, Bridge Estimators in the Partially Linear Model with High Dimensionality, Variable selection for semiparametric regression models with iterated penalisation, Group variable selection in cardiopulmonary cerebral resuscitation data for veterinary patients, Linearly Constrained Non-Lipschitz Optimization for Image Restoration, GMM estimation in partial linear models with endogenous covariates causing an over-identified problem, The growth rate of significant regressors for high dimensional data, SCAD-penalized regression in additive partially linear proportional hazards models with an ultra-high-dimensional linear part, Variable selection in partial linear regression with functional covariate, SCAD-Penalized Least Absolute Deviation Regression in High-Dimensional Models, Unnamed Item, Shrinkage Tuning Parameter Selection with a Diverging number of Parameters, Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks, Bayesian sparse reduced rank multivariate regression, Sparsity identification for high-dimensional partially linear model with measurement error, Bayesian bridge quantile regression, Difference-of-Convex Algorithms for a Class of Sparse Group $\ell_0$ Regularized Optimization Problems, A graphic and tabular variable deduction method in logistic regression, An integrated panel data approach to modelling economic growth, Assuming independence in spatial latent variable models: Consequences and implications of misspecification, Variance estimation in high-dimensional linear regression via adaptive elastic-net, SCAD‐penalized quantile regression for high‐dimensional data analysis and variable selection, Fast and efficient algorithms for sparse semiparametric bifunctional regression, Variable selection in heterogeneous panel data models with cross‐sectional dependence, Penalized MM regression estimation withL_γpenalty: a robust version of bridge regression, Screening Methods for Linear Errors-in-Variables Models in High Dimensions, Fast Bayesian variable screenings for binary response regressions with small sample size, Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation, Binary response models for heterogeneous panel data with interactive fixed effects, Unified model-free interaction screening via CV-entropy filter, Tuning parameter selection for penalized estimation via $R^2$, Recognition and variable selection in sparse spatial panel data models with fixed effects, Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design, Proximal gradient method with extrapolation and line search for a class of non-convex and non-smooth problems, Support union recovery in high-dimensional multivariate regression, GEE analysis of clustered binary data with diverging number of covariates, Complexity of unconstrained $L_2 - L_p$ minimization, A superlinearly convergent $R$-regularized Newton scheme for variational models with concave sparsity-promoting priors, High-dimensional influence measure, Unnamed Item, Variable selection in the high-dimensional continuous generalized linear model with current status data, A Model-free Variable Screening Method Based on Leverage Score, Sparse group variable selection based on quantile hierarchical Lasso, A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models, Complexity of Partially Separable Convexly Constrained Optimization with Non-Lipschitzian Singularities, Scalable Algorithms for the Sparse Ridge Regression, Consistent High-Dimensional Bayesian Variable Selection via Penalized Credible Regions, Penalised variable selection with U-estimates, ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS, Penalty Methods for a Class of Non-Lipschitz Optimization Problems, The Lasso for High Dimensional Regression with a Possible Change Point, Unnamed Item, CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS, Endogeneity in high dimensions, A note on the one-step estimator for ultrahigh dimensionality, A selective review of group selection in high-dimensional models, Principal varying coefficient estimator for high-dimensional models, Variable Selection in Linear Mixed Models Using an Extended Class of Penalties, Complexity analysis of interior point algorithms for non-Lipschitz and nonconvex minimization, Bridge Estimation for Linear Regression Models with Mixing Properties, The fused Kolmogorov filter: a nonparametric model-free screening method, Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models, Quadratic Approximation via the SCAD Penalty with a Diverging Number of Parameters, Integrative interaction analysis using threshold gradient directed regularization, A Necessary Condition for the Strong Oracle Property, Penalized regression models with autoregressive error terms, Testing Sparsity-Inducing Penalties, Adaptive Lasso in high-dimensional settings, Approximate large-scale Bayesian spatial modeling with application to quantitative magnetic resonance imaging, Partially Linear Structure Selection in Cox Models with Varying Coefficients, Sure Independence Screening for Ultrahigh Dimensional Feature Space, Group Sparse Optimization for Images Recovery Using Capped Folded Concave Functions, Independence test for high dimensional data based on regularized canonical correlation coefficients, Oracle Inequalities for Convex Loss Functions with Nonlinear Targets, Lassoing the Determinants of Retirement, Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques, Linear convergence of proximal incremental aggregated gradient method for nonconvex nonsmooth minimization problems, Spline estimation and variable selection for single-index prediction models with diverging number of index parameters, Asymptotic Properties of Marginal Least-Square Estimator for Ultrahigh-Dimensional Linear Regression Models with Correlated Errors, Alternating Direction Method of Multipliers for a Class of Nonconvex and Nonsmooth Problems with Applications to Background/Foreground Extraction, Univariate measurement error selection likelihood for variable selection of additive model, SCAD-penalised generalised additive models with non-polynomial dimensionality, Penalized empirical likelihood for high-dimensional partially linear varying coefficient model with measurement errors, M-estimation in high-dimensional linear model, Model selection consistency of Lasso for empirical data, On the strong oracle property of concave penalized estimators with infinite penalty derivative at the origin, Thresholding least-squares inference in high-dimensional regression models, Variable screening for varying coefficient models with ultrahigh-dimensional survival data, Least squares approximation with a diverging number of parameters, Robust error density estimation in ultrahigh dimensional sparse linear model, Asymtotics of Dantzig selector for a general single-index model, Robust and sparse estimators for linear regression models, Principal components adjusted variable screening, A relative error-based approach for variable selection, Feature screening for generalized varying coefficient models with application to dichotomous responses, Strong consistency of Lasso estimators, A principal varying-coefficient model for quantile regression: joint variable selection and dimension reduction, Moderately clipped Lasso, A random-effect model approach for group variable selection, The adaptive Lasso in high-dimensional sparse heteroscedastic models, Rates of convergence of the adaptive LASSO estimators to the oracle distribution and higher order refinements by the bootstrap, Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors, On group-wise $\ell_p$ regularization: theory and efficient algorithms, Almost sure uniqueness of a global minimum without convexity, Polynomial spline estimation for generalized varying coefficient partially linear models with a diverging number of components, Variable selection for high-dimensional varying coefficient partially linear models via nonconcave penalty, Marginal empirical likelihood and sure independence feature screening, Identification of breast cancer prognosis markers via integrative analysis, A doubly sparse approach for group variable selection, Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression, Generalized $F$ test for high dimensional linear regression coefficients, Variable selection and regression analysis for graph-structured covariates with an application to genomics, Goodness-of-fit testing-based selection for large-$p$-small-$n$ problems: a two-stage ranking approach, An improved algorithm for the $L_2-L_p$ minimization problem, Feature selection in machine learning: an exact penalty approach using a difference of convex function algorithm, Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models, Bridge estimators and the adaptive Lasso under heteroscedasticity, Shrinkage estimation of dynamic panel data models with interactive fixed effects, Consistent group selection in high-dimensional linear regression, Dimension reduction based linear surrogate variable approach for model free variable selection, Profiled adaptive elastic-net procedure for partially linear models with high-dimensional covar\-i\-ates, Model-free conditional independence feature screening for ultrahigh dimensional data, Bridge estimation for generalized linear models with a diverging number of parameters, Penalized least-squares estimation for regression coefficients in high-dimensional partially linear models, Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters, Which bridge estimator is the best for variable selection?, Selection of tuning parameters in bridge regression models via Bayesian information criterion, Bayesian high-dimensional screening via MCMC, Variable selection in infinite-dimensional problems, Bayesian model selection for generalized linear models using non-local priors, A generalized bridge regression in fuzzy environment and its numerical solution by a capable recurrent neural network, Modified SCAD penalty for constrained variable selection problems, High-dimensional Bayesian inference in nonparametric additive models, On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property, Oracle inequalities for high dimensional vector autoregressions, A note on the smoothing quadratic regularization method for non-Lipschitz optimization, Feature filter for estimating central mean subspace and its sparse solution, Penalized profile least squares-based statistical inference for varying coefficient partially linear errors-in-variables models, Overcoming the limitations of phase transition by higher order analysis of regularization techniques, Beyond support in two-stage variable selection, Sure feature screening for high-dimensional dichotomous classification, Dynamic single-index model for functional data, Inference in regression models with many regressors, High-dimensional mean estimation via $\ell_1$ penalized normal likelihood, Robust rank correlation based screening, Sparse and efficient estimation for partial spline models with increasing dimension, Iterative reweighted noninteger norm regularizing SVM for gene expression data classification, Semi-varying coefficient models with a diverging number of components, Sure independence screening in generalized linear models with NP-dimensionality, Smoothing methods for nonsmooth, nonconvex minimization, On a monotone scheme for nonconvex nonsmooth optimization with applications to fracture mechanics, Tests for $p$-regression coefficients in linear panel model when $p$ is divergent, Bridge regression: adaptivity and group selection, Variable selection in nonparametric additive models, Nonparametric independence feature screening for ultrahigh-dimensional survival data, Bayesian bridge-randomized penalized quantile regression for ordinal longitudinal data, with application to firm's bond ratings, Quantile index coefficient model with variable selection, Shrinkage estimation of the varying-coefficient model with continuous and categorical covariates, Broken adaptive ridge regression and its asymptotic properties, A unified primal dual active set algorithm for nonconvex sparse recovery, Bayesian bridge-randomized penalized quantile regression, Shrinkage variable selection and estimation in proportional hazards models with additive structure and high dimensionality, Model identification and selection for single-index varying-coefficient models, An extended proximal ADMM algorithm for three-block nonconvex optimization problems, Continuously dynamic additive models for functional data, On sparse beamformer design with reverberation, Convergence of the reweighted $\ell_1$ minimization algorithm for $\ell_2-\ell_p$ minimization, Variable selection in high-dimensional double generalized linear models, Penalized estimation in additive varying coefficient models using grouped regularization, Variable selection in the accelerated failure time model via the bridge method, Feature screening for ultrahigh-dimensional additive logistic models, A residual-based algorithm for solving a class of structured nonsmooth optimization problems, Spline estimator for simultaneous variable selection and constant coefficient identification in high-dimensional generalized varying-coefficient models, Adaptive sparse group LASSO in quantile regression, Selective inference via marginal screening for high dimensional classification, SCAD-penalized regression in high-dimensional partially linear models, Accelerated iterative hard thresholding algorithm for $l_0$ regularized regression problem, Variable selection in functional regression models: a review, Un-diversifying during crises: is it a good idea?, Tournament screening cum EBIC for feature selection with high-dimensional feature spaces, Sparsistency and rates of convergence in large covariance matrix estimation, On the oracle property of adaptive group Lasso in high-dimensional linear models

Cites Work