On the behavior of the risk of a Lasso-type estimator

DOI10.1007/978-3-319-51313-3_9MaRDI QIDQ5283086zbMATH OpenOpenAlexFDO

Authors Silvelyn Zwanzig, M. Rauf Ahmad

Publication date 18 July 2017

Published in Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-51313-3_9

zbMATH Keywords

high-dimensional inferencelinear modelsSVDMSEshrinkage estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Asymptotics for Lasso-type estimators.
• Simultaneous analysis of Lasso and Dantzig selector
• Risk consistency of cross-validation with Lasso-type procedures
• High-dimensional generalized linear models and the lasso
• Leave-one-out cross-validation is risk consistent for Lasso

Cites work

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• Liu and Ridge Estimators-A Comparison
• Matrix Algebra
• Optimization
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge regression and asymptotic minimax estimation over spheres of growing dimension
• Statistics for high-dimensional data. Methods, theory and applications.

Cited in

(4)

• Corrected proof of the result of 'A prediction error property of the Lasso estimator and its generalization' by Huang (2003)
• Tests of parameter matrix in multivariate general linear model with large dimensions
• On the robustness of F statistic for high-dimensional general linear models
• Risk consistency of cross-validation with Lasso-type procedures

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