Bridge estimators and the adaptive Lasso under heteroscedasticity

DOI10.3103/S1066530712020032zbMath1325.62135OpenAlexW2168598424MaRDI QIDQ893067

Dette, Holger, Jens Wagener

Publication date: 13 November 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530712020032

zbMATH Keywords

normalityselectionheteroscedasticityasymptoticmodelbridgeoracleestimatorsconservativeLassoadaptiveproperty

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes ⋮ The adaptive Lasso in high-dimensional sparse heteroscedastic models ⋮ Unnamed Item ⋮ Orthogonal one step greedy procedure for heteroscedastic linear models

Uses Software

• R
• KernSmooth

Cites Work

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