Asymptotic theory of the adaptive Sparse Group Lasso
Author
Abstract
Suggested Citation
DOI: 10.1007/s10463-018-0692-7
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
- Francq, Christian & Thieu, Le Quyen, 2019.
"Qml Inference For Volatility Models With Covariates,"
Econometric Theory, Cambridge University Press, vol. 35(1), pages 37-72, February.
- Francq, Christian & Thieu, Le Quyen, 2015. "Qml inference for volatility models with covariates," MPRA Paper 63198, University Library of Munich, Germany.
- Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
- Kato, Kengo, 2009. "Asymptotics for argmin processes: Convexity arguments," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1816-1829, September.
- Jianqing Fan, 1997. "Comments on «Wavelets in statistics: A review» by A. Antoniadis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 6(2), pages 131-138, August.
- Racine, Jeff, 2000. "Consistent cross-validatory model-selection for dependent data: hv-block cross-validation," Journal of Econometrics, Elsevier, vol. 99(1), pages 39-61, November.
- Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
- Victor Chernozhukov, 2005. "Extremal quantile regression," Papers math/0505639, arXiv.org.
- Victor Chernozhukov & Han Hong, 2004. "Likelihood Estimation and Inference in a Class of Nonregular Econometric Models," Econometrica, Econometric Society, vol. 72(5), pages 1445-1480, September.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
- Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
- Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
- Ming Yuan & Yi Lin, 2006. "Model selection and estimation in regression with grouped variables," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(1), pages 49-67, February.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(2), pages 186-199, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Xing Qin & Shuangge Ma & Mengyun Wu, 2023. "Two‐level Bayesian interaction analysis for survival data incorporating pathway information," Biometrics, The International Biometric Society, vol. 79(3), pages 1761-1774, September.
- Kaida Cai & Hua Shen & Xuewen Lu, 2022. "Adaptive bi-level variable selection for multivariate failure time model with a diverging number of covariates," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 968-993, December.
- Benjamin Poignard & Manabu Asai, 2023.
"High‐dimensional sparse multivariate stochastic volatility models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 4-22, January.
- Benjamin Poignard & Manabu Asai, 2022. "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers 2201.08584, arXiv.org, revised May 2022.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
- Jiang, Liewen & Bondell, Howard D. & Wang, Huixia Judy, 2014. "Interquantile shrinkage and variable selection in quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 208-219.
- Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023.
"Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Rui Fan & Ji Hyung Lee & Youngki Shin, 2021. "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers 2101.11568, arXiv.org, revised Dec 2022.
- Tutz, Gerhard & Pößnecker, Wolfgang & Uhlmann, Lorenz, 2015. "Variable selection in general multinomial logit models," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 207-222.
- Yize Zhao & Matthias Chung & Brent A. Johnson & Carlos S. Moreno & Qi Long, 2016. "Hierarchical Feature Selection Incorporating Known and Novel Biological Information: Identifying Genomic Features Related to Prostate Cancer Recurrence," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1427-1439, October.
- Capanu, Marinela & Giurcanu, Mihai & Begg, Colin B. & Gönen, Mithat, 2023. "Subsampling based variable selection for generalized linear models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).
- Loann David Denis Desboulets, 2018.
"A Review on Variable Selection in Regression Analysis,"
Econometrics, MDPI, vol. 6(4), pages 1-27, November.
- Loann David Denis Desboulets, 2018. "A Review on Variable Selection in Regression Analysis," Post-Print hal-01954386, HAL.
- Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022.
"On LASSO for predictive regression,"
Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
- Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
- Zhang, Tonglin, 2024. "Variables selection using L0 penalty," Computational Statistics & Data Analysis, Elsevier, vol. 190(C).
- Takumi Saegusa & Tianzhou Ma & Gang Li & Ying Qing Chen & Mei-Ling Ting Lee, 2020. "Variable Selection in Threshold Regression Model with Applications to HIV Drug Adherence Data," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 12(3), pages 376-398, December.
- Huicong Yu & Jiaqi Wu & Weiping Zhang, 2024. "Simultaneous subgroup identification and variable selection for high dimensional data," Computational Statistics, Springer, vol. 39(6), pages 3181-3205, September.
- Wentao Wang & Jiaxuan Liang & Rong Liu & Yunquan Song & Min Zhang, 2022. "A Robust Variable Selection Method for Sparse Online Regression via the Elastic Net Penalty," Mathematics, MDPI, vol. 10(16), pages 1-18, August.
- Zanhua Yin, 2020. "Variable selection for sparse logistic regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(7), pages 821-836, October.
- Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2023.
"Machine learning advances for time series forecasting,"
Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 76-111, February.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2020. "Machine Learning Advances for Time Series Forecasting," Papers 2012.12802, arXiv.org, revised Apr 2021.
- Pei Wang & Shunjie Chen & Sijia Yang, 2022. "Recent Advances on Penalized Regression Models for Biological Data," Mathematics, MDPI, vol. 10(19), pages 1-24, October.
- Justin B. Post & Howard D. Bondell, 2013. "Factor Selection and Structural Identification in the Interaction ANOVA Model," Biometrics, The International Biometric Society, vol. 69(1), pages 70-79, March.
- Li Yun & O’Connor George T. & Dupuis Josée & Kolaczyk Eric, 2015. "Modeling gene-covariate interactions in sparse regression with group structure for genome-wide association studies," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 14(3), pages 265-277, June.
- Min Chen & Yimin Lian & Zhao Chen & Zhengjun Zhang, 2017. "Sure explained variability and independence screening," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(4), pages 849-883, October.
- Jonathan Boss & Alexander Rix & Yin‐Hsiu Chen & Naveen N. Narisetty & Zhenke Wu & Kelly K. Ferguson & Thomas F. McElrath & John D. Meeker & Bhramar Mukherjee, 2021. "A hierarchical integrative group least absolute shrinkage and selection operator for analyzing environmental mixtures," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
More about this item
Keywords
Asymptotic normality; Consistency; Oracle property;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-018-0692-7. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.