Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors

DOI10.1016/j.jeconom.2021.05.006OpenAlexW3176666307MaRDI QIDQ2172011

Yanyan Li

Publication date: 14 September 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.05.006

zbMATH Keywords

linear modelconfidence intervalpost-selection inferenceHuber loss

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items

Optimal decorrelated score subsampling for generalized linear models with massive data, Renewable Huber estimation method for streaming datasets

Uses Software

• randomSurvivalForest

Cites Work

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