Bootstrap-based penalty choice for the LASSO, achieving oracle performance

MaRDI QIDQ5323623zbMATH OpenFDO

Authors Eun Ryung Lee, Byeong U. Park, Peter Hall

Publication date 23 July 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N2/j19n24/j19n24.html

zbMATH Keywords

\(m\)-out-of-\(n\) bootstrapadaptive inferencebootstrapoptimality propertiespredictionregressionvariable selection

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09)

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Cited in

(9)

• Variable selection in joint mean and dispersion models via double penalized likelihood
• The use of vector bootstrapping to improve variable selection precision in Lasso models
• Variable selection in joint modelling of the mean and variance for hierarchical data
• Regularisation parameter selection via bootstrapping
• Estimation of stationary autoregressive models with the Bayesian LASSO
• Bootstrap inference for penalized GMM estimators with oracle properties
• Variable selection in linear-circular regression models
• Assessing Tuning Parameter Selection Variability in Penalized Regression
• Learning from limited temporal data: dynamically sparse historical functional linear models with applications to earth science

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