Broken adaptive ridge regression and its asymptotic properties
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: Journal of Multivariate Analysis
سال: 2018
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2018.08.007