Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results
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- Hannes Leeb & Benedikt M. Pötscher, 2003. "Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results," Vienna Economics Papers 0301, University of Vienna, Department of Economics.
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- Leeb, Hannes & Potscher, Benedikt M., 2008.
"Sparse estimators and the oracle property, or the return of Hodges' estimator,"
Journal of Econometrics,
Elsevier, vol. 142(1), pages 201-211, January.
- Hannes Leeb & Benedikt M. Poetscher, 2005. "Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator," Cowles Foundation Discussion Papers 1500, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
- Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
- Christian T. Brownlees & Giampiero M. Gallo, 2010.
"Comparison of Volatility Measures: a Risk Management Perspective,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
- Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Pötscher, Benedikt M. & Leeb, Hannes, 2009.
"On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding,"
Journal of Multivariate Analysis,
Elsevier, vol. 100(9), pages 2065-2082, October.
- Pötscher, Benedikt M. & Leeb, Hannes, 2007. "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," MPRA Paper 5615, University Library of Munich, Germany.
- Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
- Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
- Ganggang Xu & Suojin Wang & Jianhua Z. Huang, 2014. "Focused information criterion and model averaging based on weighted composite quantile regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 365-381, June.
- Leeb, Hannes & Pötscher, Benedikt M. & Kivaranovic, Danijel, 2018. "Comment on "Model Confidence Bounds for Variable Selection" by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin," MPRA Paper 90655, University Library of Munich, Germany.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
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