Confidence Intervals and Regions for the Lasso by Using Stochastic Variational Inequality Techniques in Optimization

DOI10.1111/rssb.12184zbMath1414.62319OpenAlexW2345609133MaRDI QIDQ5381093

Shu Lu, Kai Zhang, Yu Feng Liu, Liang Yin

Publication date: 7 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/rssb.12184

zbMATH Keywords

optimization confidence intervals variational inequality confidence regions shrinkage random design sparsity

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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