On the validity of the pairs bootstrap for lasso estimators
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Camponovo, L (2015) On the validity of the pairs bootstrap for lasso estimators Biometrika, 102 (4). pp. 981-987.
Full text not available from this repository.Abstract
We study the validity of the pairs bootstrap for lasso estimators in linear regression models with random covariates and heteroscedastic error terms. We show that the naive pairs bootstrap does not provide a valid method for approximating the distribution of the lasso estimator. To overcome this deficiency, we introduce a modified pairs bootstrap procedure and prove its consistency. Finally, we consider the adaptive lasso and show that the modified pairs bootstrap consistently estimates the distribution of the adaptive lasso estimator.
| Item Type: | Article | ||||||
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| Subjects : | Economics | ||||||
| Divisions : | Surrey research (other units) | ||||||
| Authors : |
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| Date : | December 2015 | ||||||
| DOI : | 10.1093/biomet/asv039 | ||||||
| Copyright Disclaimer : | © 2015 Biometrika Trust | ||||||
| Uncontrolled Keywords : | Heteroscedastic regression model, Lasso estimator, Pairs bootstrap | ||||||
| Depositing User : | Symplectic Elements | ||||||
| Date Deposited : | 16 May 2017 15:39 | ||||||
| Last Modified : | 24 Jan 2020 15:10 | ||||||
| URI: | http://epubs.surrey.ac.uk/id/eprint/821061 |
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