Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework

DOI10.1214/17-AOS1671zbMath1407.62268arXiv1512.07619OpenAlexW2963629082WikidataQ92909056 ScholiaQ92909056MaRDI QIDQ1990597

Victor Chernozhukov, Denis Chetverikov, Ying Wei, Alexandre Belloni

Publication date: 25 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.07619

zbMATH Keywords

inference after model selectionLasso and post-Lasso with functional response datamoment condition models with a continuum of target parameters

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric tolerance and confidence regions (62G15)

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