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On the validity of the pairs bootstrap for lasso estimators

Camponovo, L (2015) On the validity of the pairs bootstrap for lasso estimators Biometrika, 102 (4). pp. 981-987.

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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
Subjects : Economics
Authors :
NameEmailORCID
Camponovo, Ll.camponovo@surrey.ac.ukUNSPECIFIED
Date : December 2015
Identification Number : https://doi.org/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 : 18 May 2017 13:14
URI: http://epubs.surrey.ac.uk/id/eprint/821061

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