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Bootstrapping Lasso Estimators

Citations

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Cited by:

  1. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  2. Hansen, Christian & Liao, Yuan, 2019. "The Factor-Lasso And K-Step Bootstrap Approach For Inference In High-Dimensional Economic Applications," Econometric Theory, Cambridge University Press, vol. 35(3), pages 465-509, June.
  3. Audrino, Francesco & Camponovo, Lorenzo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Economics Working Paper Series 1327, University of St. Gallen, School of Economics and Political Science.
  4. Qin, Yichen & Wang, Linna & Li, Yang & Li, Rong, 2023. "Visualization and assessment of model selection uncertainty," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
  5. Diego Vidaurre & Concha Bielza & Pedro Larrañaga, 2013. "A Survey of L1 Regression," International Statistical Review, International Statistical Institute, vol. 81(3), pages 361-387, December.
  6. Xingcai Zhou & Zhaoyang Jing & Chao Huang, 2024. "Distributed Bootstrap Simultaneous Inference for High-Dimensional Quantile Regression," Mathematics, MDPI, vol. 12(5), pages 1-54, February.
  7. Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli, 2022. "Bootstrap inference in the presence of bias," Papers 2208.02028, arXiv.org, revised Nov 2023.
  8. Ian W. McKeague & Min Qian, 2015. "An Adaptive Resampling Test for Detecting the Presence of Significant Predictors," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1422-1433, December.
  9. Shu Lu & Yufeng Liu & Liang Yin & Kai Zhang, 2017. "Confidence intervals and regions for the lasso by using stochastic variational inequality techniques in optimization," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 589-611, March.
  10. Mammen, Enno & Wilke, Ralf A. & Zapp, Kristina Maria, 2022. "Estimation of group structures in panel models with individual fixed effects," ZEW Discussion Papers 22-023, ZEW - Leibniz Centre for European Economic Research.
  11. Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
  12. Jun Li & Serguei Netessine & Sergei Koulayev, 2018. "Price to Compete … with Many: How to Identify Price Competition in High-Dimensional Space," Management Science, INFORMS, vol. 64(9), pages 4118-4136, September.
  13. Xinjue Li & Lenka Zbonakova & Wolfgang Karl Härdle, 2017. "Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change," SFB 649 Discussion Papers SFB649DP2017-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Myung Hwan Seo & Yoichi Arai & Taisuke Otsu, 2021. "Regression Discontinuity Design with Potentially Many Covariates," Working Paper Series no142, Institute of Economic Research, Seoul National University.
  15. Yoici Arai & Taisuke Otsu & Myung Hwan Seo, 2019. "Causal inference on regression discontinuity designs by high-dimensional methods," STICERD - Econometrics Paper Series 601, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  16. Xiaorui Zhu & Yichen Qin & Peng Wang, 2023. "Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models," Papers 2307.07574, arXiv.org.
  17. Anindya Bhadra & Jyotishka Datta & Nicholas G. Polson & Brandon T. Willard, 2020. "Global-Local Mixtures: A Unifying Framework," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 82(2), pages 426-447, August.
  18. Giuseppe Luca & Jan R. Magnus & Franco Peracchi, 2023. "Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1637-1664, April.
  19. Zareei, Abalfazl, 2019. "Network origins of portfolio risk," Journal of Banking & Finance, Elsevier, vol. 109(C).
  20. Pietro Bonaldi & Ali Hortaçsu & Jakub Kastl, 2015. "An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk," NBER Working Papers 21462, National Bureau of Economic Research, Inc.
  21. Kun Chen & Kung-Sik Chan & Nils Chr. Stenseth, 2014. "Source-Sink Reconstruction Through Regularized Multicomponent Regression Analysis-With Application to Assessing Whether North Sea Cod Larvae Contributed to Local Fjord Cod in Skagerrak," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 560-573, June.
  22. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
  23. Pietro Bonaldi & Ali Hortaçsu & Jakub Kastl, 2015. "Empirical Analysis of Funding Cost Spillovers in the EURO Zone with Application to Systemic Risk," Working Papers 2015-4, Princeton University. Economics Department..
  24. Zhou, Jia & Zheng, Zemin & Zhou, Huiting & Dong, Ruipeng, 2021. "Innovated scalable efficient inference for ultra-large graphical models," Statistics & Probability Letters, Elsevier, vol. 173(C).
  25. 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.
  26. Pietro Bonaldi & Ali Hortaçsu & Jakub Kastl, 2015. "Empirical Analysis of Funding Cost Spillovers in the EURO Zone with Application to Systemic Risk," Working Papers 2015-5, Princeton University. Economics Department..
  27. Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022. "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, vol. 59(PA).
  28. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
  29. Richard A. Lockhart & Richard J. Samworth, 2017. "Comments on: High-dimensional simultaneous inference with the bootstrap," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(4), pages 734-739, December.
  30. Claude Renaux & Laura Buzdugan & Markus Kalisch & Peter Bühlmann, 2020. "Hierarchical inference for genome-wide association studies: a view on methodology with software," Computational Statistics, Springer, vol. 35(1), pages 1-40, March.
  31. Chatterjee, A. & Gupta, S. & Lahiri, S.N., 2015. "On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property," Journal of Econometrics, Elsevier, vol. 186(2), pages 317-324.
  32. Jana Janková & Sara Geer, 2017. "Honest confidence regions and optimality in high-dimensional precision matrix estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 143-162, March.
  33. Hanzhong Liu & Bin Yu, 2017. "Comments on: High-dimensional simultaneous inference with the bootstrap," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(4), pages 740-750, December.
  34. Ruben Dezeure & Peter Bühlmann & Cun-Hui Zhang, 2017. "High-dimensional simultaneous inference with the bootstrap," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(4), pages 685-719, December.
  35. Gelper, Sarah & Wilms, Ines & Croux, Christophe, 2016. "Identifying Demand Effects in a Large Network of Product Categories," Journal of Retailing, Elsevier, vol. 92(1), pages 25-39.
  36. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
  37. Silver Matt & Montana Giovanni & Alzheimer's Disease Neuroimaging Initiative, 2012. "Fast Identification of Biological Pathways Associated with a Quantitative Trait Using Group Lasso with Overlaps," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 11(1), pages 1-43, January.
  38. Mihai C. Giurcanu, 2017. "Oracle M-Estimation for Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 479-504, May.
  39. Ertefaie Ashkan & Asgharian Masoud & Stephens David A., 2018. "Variable Selection in Causal Inference using a Simultaneous Penalization Method," Journal of Causal Inference, De Gruyter, vol. 6(1), pages 1-16, March.
  40. Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  41. Zhu, Ke & Liu, Hanzhong, 2022. "Confidence intervals for parameters in high-dimensional sparse vector autoregression," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
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