Shrinkage and LASSO strategies in high-dimensional heteroscedastic models
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Publication:2816430
DOI10.1080/03610926.2014.921305zbMath1347.62146OpenAlexW2413619832MaRDI QIDQ2816430
Eric Yu Yin Lin, Sévérien Nkurunziza, Marwan A. Al-Momani
Publication date: 22 August 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.921305
least squares estimatorLASSOheteroscedastic modelslinear regression modelsasymptotic distribution riskHHR estimatorshrinkage strategies
Ridge regression; shrinkage estimators (Lasso) (62J07) Parametric inference under constraints (62F30)
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