On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
DOI10.1016/J.JECONOM.2015.02.012zbMATH Open1331.62345OpenAlexW2062641117WikidataQ57437388 ScholiaQ57437388MaRDI QIDQ494167FDOQ494167
Authors: A. Chatterjee, Shuva Gupta, Soumendra N. Lahiri 
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
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regularizationoracle propertyweak convergenceprediction intervalsBrownian bridgeasymptotic uniform linearity
Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)
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