On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property

DOI10.1016/j.jeconom.2015.02.012zbMath1331.62345OpenAlexW2062641117WikidataQ57437388 ScholiaQ57437388MaRDI QIDQ494167

Shuva Gupta, Arindam Chatterjee, Soumendra Nath Lahiri

Publication date: 31 August 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.012

zbMATH Keywords

weak convergenceregularizationBrownian bridgeprediction intervalsoracle propertyasymptotic uniform linearity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (2)

Thresholding least-squares inference in high-dimensional regression models ⋮ Testing stochastic dominance with many conditioning variables

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