Pivotal estimation via square-root lasso in nonparametric regression

DOI10.1214/14-AOS1204zbMath1321.62030arXiv1105.1475OpenAlexW2952248799MaRDI QIDQ2249850

Lie Wang, Victor Chernozhukov, Alexandre Belloni

Publication date: 3 July 2014

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

Full work available at URL: https://arxiv.org/abs/1105.1475

zbMATH Keywords

model selectionpivotal\(\sqrt{n}\)-consistency and asymptotic normality after model selection\(Z\)-estimation problemgeneric semiparametric problemnon-Gaussian heteroscedasticnonlinear instrumental variablesquare-root lasso

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

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Uses Software

• TFOCS

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