An upper bound for functions of estimators in high dimensions

DOI10.1080/07474938.2020.1808370zbMath1490.62189arXiv2008.02636OpenAlexW2287205026MaRDI QIDQ5861046

X. Han, Mehmet Caner

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.02636

zbMATH Keywords

Lassomany restrictionsmany assets

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• On asymptotically optimal confidence regions and tests for high-dimensional models
• Statistics for high-dimensional data. Methods, theory and applications.
• Convergence rates and asymptotic normality for series estimators
• Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• Generalized Method of Moments With Many Weak Moment Conditions
• Asymptotic Statistics

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