Consistent Fixed-Effects Selection in Ultra-high dimensional Linear Mixed Models with Error-Covariate Endogeneity

DOI10.5705/ss.202019.0421OpenAlexW3099015814MaRDI QIDQ5037804

Abhik Ghosh, Magne Thoresen

Publication date: 4 March 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.02971

zbMATH Keywords

endogeneityoracle variable selectionprofiled focused generalized method of momentsultrahigh-dimensional mixed effects models

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• S-PLUS
• MEMSS

Cites Work

• Unnamed Item
• Nonparametric methods for inference in the presence of instrumental variables
• Variable selection in linear mixed effects models
• Non-concave penalization in linear mixed-effect models and regularized selection of fixed effects
• A note on BIC in mixed-effects models
• Endogeneity in high dimensions
• Multilevel modeling with correlated effects
• Estimation for High-Dimensional Linear Mixed-Effects Models Using ℓ1-Penalization
• Regularization of Wavelet Approximations
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Mixed-Effects Models in S and S-PLUS
• Generalized Instrumental Variable Models
• Regressor and random‐effects dependencies in multilevel models
• Regularization Methods for High-Dimensional Instrumental Variables Regression With an Application to Genetical Genomics

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