Journal article
Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
- Abstract:
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In this paper we consider the conservative Lasso which we argue penalizes more correctly than the Lasso and show how it may be desparsified in the sense of van de Geer et al. (2014) in order to construct asymptotically honest (uniform) confidence bands. In particular, we develop an oracle inequality for the conservative Lasso only assuming the existence of a certain number of moments. This is done by means of the Marcinkiewicz–Zygmund inequality. We allow for heteroskedastic non-subgaussian e...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Accepted manuscript, pdf, 564.7KB)
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- Publisher copy:
- 10.1016/j.jeconom.2017.11.005
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Authors
Funding
+ Danish National Research Foundation
More from this funder
Funding agency for:
Kock, A
Grant:
DNRF78
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Journal of Econometrics Journal website
- Volume:
- 203
- Issue:
- 1
- Pages:
- 143-168
- Publication date:
- 2017-12-02
- Acceptance date:
- 2017-11-11
- DOI:
- ISSN:
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0304-4076
- Source identifiers:
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817227
Item Description
- Keywords:
- Pubs id:
-
pubs:817227
- UUID:
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uuid:7f4f9202-5cf1-421d-9303-658822fe973b
- Local pid:
- pubs:817227
- Deposit date:
- 2018-01-09
Terms of use
- Copyright holder:
- Elsevier BV
- Copyright date:
- 2017
- Notes:
- Copyright © 2017 Elsevier B.V. This is the accepted manuscript version of the article. The final version is available online from Elsevier at: https://doi.org/10.1016/j.jeconom.2017.11.005
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