Adaptive Lasso regression against heteroscedastic idiosyncratic factors in the covariates

DOI10.4310/sii.2020.v13.n1.a6OpenAlexW2982867724WikidataQ126832004 ScholiaQ126832004MaRDI QIDQ6096700

Chi Tim Ng, Kaimeng Zhang

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

factor analysispenalized regressionselection consistencyadaptive Lassoglobal economic interactionirrespentable condition

Mathematics Subject Classification ID

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

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