Weak Convergence of the Regularization Path in Penalized M-Estimation

DOI10.1111/j.1467-9469.2009.00682.xzbMath1226.60032arXiv0809.0064OpenAlexW1592037586MaRDI QIDQ3103136

Jean-Francois Germain, François Roueff

Publication date: 26 November 2011

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.0064

zbMATH Keywords

weak convergencelassoregularization pathAkaike information criterion (AIC)pathwise argmin theorempenalized M-estimation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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Cites Work

• Asymptotics for \(M\)-estimators defined by convex minimization
• Asymptotics for Lasso-type estimators.
• Least angle regression. (With discussion)
• Weak convergence and empirical processes. With applications to statistics
• Simultaneous analysis of Lasso and Dantzig selector
• Sparsity oracle inequalities for the Lasso
• On the ``degrees of freedom of the lasso
• Asymptotic Statistics
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
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