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

DOI10.1007/978-3-319-51313-3_9zbMATH Open1366.62148OpenAlexW2580315993MaRDI QIDQ5283086FDOQ5283086

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

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

zbMATH Keywords

high-dimensional inferencelinear modelsSVDMSEshrinkage estimation

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Corrected proof of the result of 'A prediction error property of the Lasso estimator and its generalization' by Huang (2003)
• Risk consistency of cross-validation with Lasso-type procedures

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