A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models
نویسندگان
چکیده
منابع مشابه
Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
Abstract: We study the asymptotic properties of Lasso+mLS and Lasso+ Ridge under the sparse high-dimensional linear regression model: Lasso selecting predictors and then modified Least Squares (mLS) or Ridge estimating their coefficients. First, we propose a valid inference procedure for parameter estimation based on parametric residual bootstrap after Lasso+ mLS and Lasso+Ridge. Second, we der...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2020
ISSN: 1017-0405
DOI: 10.5705/ss.202018.0131