Confidence sets based on penalized maximum likelihood estimators
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More about this item
Keywordspenalized maximum likelihood; Lasso; adaptive Lasso; hard-thresholding; confidence set; coverage probability; sparsity; model selection;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2008-06-21 (Econometrics)
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