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Variance estimation using refitted cross‐validation in ultrahigh dimensional regression

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  • Jianqing Fan
  • Shaojun Guo
  • Ning Hao

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  • Jianqing Fan & Shaojun Guo & Ning Hao, 2012. "Variance estimation using refitted cross‐validation in ultrahigh dimensional regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(1), pages 37-65, January.
  • Handle: RePEc:bla:jorssb:v:74:y:2012:i:1:p:37-65
    DOI: j.1467-9868.2011.01005.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9868.2011.01005.x
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    Citations

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    Cited by:

    1. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    2. Wang, WenWu & Yu, Ping, 2017. "Asymptotically optimal differenced estimators of error variance in nonparametric regression," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 125-143.
    3. Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 593-628, Emerald Publishing Ltd.
    4. Laurin Charles & Boomsma Dorret & Lubke Gitta, 2016. "The use of vector bootstrapping to improve variable selection precision in Lasso models," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 15(4), pages 305-320, August.
    5. Jingxin Zhao & Heng Peng & Tao Huang, 2018. "Variance estimation for semiparametric regression models by local averaging," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 453-476, June.
    6. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2016. "Double/Debiased Machine Learning for Treatment and Causal Parameters," Papers 1608.00060, arXiv.org, revised Dec 2017.
    7. Jianqing Fan & Quefeng Li & Yuyan Wang, 2017. "Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 247-265, January.
    8. Lucas Janson & Rina Foygel Barber & Emmanuel Candès, 2017. "EigenPrism: inference for high dimensional signal-to-noise ratios," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(4), pages 1037-1065, September.

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