On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property

DOI10.1016/j.jeconom.2015.02.012zbMath1331.62345WikidataQ57437388 ScholiaQ57437388MaRDI QIDQ494167

Arindam Chatterjee, Soumendra Nath Lahiri, Shuva Gupta

Publication date: 31 August 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.012

zbMATH Keywords

weak convergence; regularization; Brownian bridge; prediction intervals; oracle property; asymptotic uniform linearity

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nearly unbiased variable selection under minimax concave penalty
• The Adaptive Lasso and Its Oracle Properties
• Sparse estimators and the oracle property, or the return of Hodges' estimator
• Strong consistency of Lasso estimators
• Rates of convergence of the adaptive LASSO estimators to the oracle distribution and higher order refinements by the bootstrap
• Statistics for high-dimensional data. Methods, theory and applications.
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Lasso-type recovery of sparse representations for high-dimensional data
• On the distribution of the adaptive LASSO estimator
• Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
• Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation
• Asymptotic behavior of the empiric distribution of M-estimated residuals from a regression model with many parameters
• Weighted empirical processes in dynamic nonlinear models.
• Asymptotics for Lasso-type estimators.
• Weak convergence of the empirical process of residuals in linear models with many parameters
• Weak convergence and empirical processes. With applications to statistics
• Empirical process of residuals for high-dimensional linear models
• Simultaneous analysis of Lasso and Dantzig selector
• A note on the asymptotic distribution of lasso estimator for correlated data
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Sparsity oracle inequalities for the Lasso
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• High-dimensional graphs and variable selection with the Lasso
• Bootstrapping Lasso Estimators
• Model selection and estimation in the Gaussian graphical model
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Inference on Treatment Effects after Selection among High-Dimensional Controls
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• Asymptotic Behavior of Wilcoxon Type Confidence Regions in Multiple Linear Regression
• Probability Inequalities for Sums of Independent Random Variables