Bridge estimators and the adaptive Lasso under heteroscedasticity

DOI10.3103/S1066530712020032zbMATH Open1325.62135OpenAlexW2168598424MaRDI QIDQ893067FDOQ893067

Authors: Jens Wagener, Holger Dette 

Publication date: 13 November 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530712020032

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zbMATH Keywords

heteroscedasticityLassoasymptoticmodelselectionnormalityadaptivebridgeconservativeoracleestimatorsproperty

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Estimating the dimension of a model
• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
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• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
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• Regularization and Variable Selection Via the Elastic Net
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• Sparse estimators and the oracle property, or the return of Hodges' estimator
• An Effective Bandwidth Selector for Local Least Squares Regression
• Adaptive Lasso for sparse high-dimensional regression models
• Testing Heteroscedasticity In Nonparametric Regression
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• Tuning parameter selectors for the smoothly clipped absolute deviation method
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
• Nonconcave penalized likelihood with a diverging number of parameters.
• Better Subset Regression Using the Nonnegative Garrote
• DASSO: Connections Between the Dantzig Selector and Lasso
• A Statistical View of Some Chemometrics Regression Tools
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• The Focused Information Criterion
• Smoothly clipped absolute deviation on high dimensions

Cited In (6)

• Orthogonal one step greedy procedure for heteroscedastic linear models
• The adaptive Lasso in high-dimensional sparse heteroscedastic models
• Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
• Bridge Estimators in the Partially Linear Model with High Dimensionality
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• Adaptive group bridge estimation for high-dimensional partially linear models

Uses Software

• R
• KernSmooth

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