PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS

DOI10.1017/S0266466606060038MaRDI QIDQ3377436zbMATH OpenOpenAlexFDO

Authors Hannes Leeb, Benedikt M. Pötscher

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466606060038

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• A general lower bound of minimax risk for absolute‐error loss
• Asymptotics for Lasso-type estimators.
• Atomic Decomposition by Basis Pursuit
• Estimating risk and the mean squared error matrix in Stein estimation
• Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• On the Existence of Uniformly Consistent Estimates
• On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance.
• The nonexistence of confidence sets for discontinuous functionals.
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(24)

• On the distribution of the adaptive LASSO estimator
• On the post selection inference constant under restricted isometry properties
• Introduction to double robust methods for incomplete data
• Shrinkage estimation of panel data models with interactive effects
• In defense of the indefensible: a very naïve approach to high-dimensional inference
• Uniformly valid confidence intervals post-model-selection
• On various confidence intervals post-model-selection
• Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
• Sparse estimators and the oracle property, or the return of Hodges' estimator
• LASSO-TYPE GMM ESTIMATOR
• Valid post-selection inference
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• CORRIGENDUM: Correction to “Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results”
• Hybrid and Size-Corrected Subsampling Methods
• Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
• On the length of post-model-selection confidence intervals conditional on polyhedral constraints
• Existence and performance of Shalvi-Weinstein estimators
• Focused information criterion and model averaging based on weighted composite quantile regression
• STRETCHING THE NET: MULTIDIMENSIONAL REGULARIZATION
• UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK
• Weighted-average least squares estimation of panel data models
• On the uniform asymptotic validity of subsampling and the bootstrap
• Can one estimate the conditional distribution of post-model-selection estimators?
• Donsker-type theorems for nonparametric maximum likelihood estimators

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