Confidence sets based on penalized maximum likelihood estimators in Gaussian regression
نویسندگان
چکیده
منابع مشابه
Confidence Sets Based on Penalized Maximum Likelihood Estimators
Confidence intervals based on penalized maximum likelihood estimators such as the LASSO, adaptive LASSO, and hard-thresholding are analyzed. In the known-variance case, the finite-sample coverage properties of such intervals are determined and it is shown that symmetric intervals are the shortest. The length of the shortest intervals based on the hard-thresholding estimator is larger than the l...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2010
ISSN: 1935-7524
DOI: 10.1214/09-ejs523