Weak signal identification and inference in penalized model selection
نویسندگان
چکیده
منابع مشابه
Title: Weak Signal Identification and Inference in Penalized Model Selection
Weak signal identification and inference are very important in the area of penalized model selection, yet they are under-developed and not well-studied. Existing inference procedures for penalized estimators are mainly focused on strong signals. In this paper, we propose an identification procedure for weak signals in finite samples, and provide a transition phase inbetween noise and strong sig...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2017
ISSN: 0090-5364
DOI: 10.1214/16-aos1482