The adaptive Lasso in high-dimensional sparse heteroscedastic models

DOI10.3103/S106653071302004XzbMath1274.62457MaRDI QIDQ359867

Jens Wagener, Dette, Holger

Publication date: 23 August 2013

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

heteroscedasticityhigh-dimensional datavariable selectionpenalized regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (5)

Joint estimation and variable selection for mean and dispersion in proper dispersion models ⋮ Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes ⋮ Correcting for unknown errors in sparse high-dimensional function approximation ⋮ Unnamed Item ⋮ Orthogonal one step greedy procedure for heteroscedastic linear models

Uses Software

• R

Cites Work

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