On cross-validated Lasso in high dimensions

DOI10.1214/20-AOS2000zbMath1475.62209arXiv1605.02214OpenAlexW3191662600MaRDI QIDQ820794

Zhipeng Liao, Denis Chetverikov, Victor Chernozhukov

Publication date: 28 September 2021

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

Full work available at URL: https://arxiv.org/abs/1605.02214

zbMATH Keywords

cross-validationsparsityhigh-dimensional modelsnonasymptotic bounds

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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