Adaptive Lasso regression against heteroscedastic idiosyncratic factors in the covariates

DOI10.4310/SII.2020.V13.N1.A6MaRDI QIDQ6096700zbMATH OpenOpenAlexWikidataFDO

Authors Kaimeng Zhang, Chi Tim Ng

Publication date 15 September 2023

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2020.v13.n1.a6

zbMATH Keywords

adaptive Lassofactor analysisglobal economic interactionirrespentable conditionpenalized regressionselection consistency

Mathematics Subject Classification ID

Statistics (62-XX) Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)

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