The linear Lasso: A location model approach

We use location model methodology to guide the least squares analysis in the Lasso problem of variable selection and inference. The nuisance parameter is taken to be an indicator for the selection of explanatory variables, and the interest parameter is the response variable itself. Recent theory eli...

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Veröffentlicht in:	Canadian journal of statistics 2022-06, Vol.50 (2), p.437-453
Hauptverfasser:	Fraser, D. A. S., Bédard, Mylène
Format:	Artikel
Sprache:	eng
Schlagworte:	correlation directed Lasso Inference Least squares Marginality Mathematical models Nuisance Parameters regression Regression analysis Social exclusion variable selection Variables
Online-Zugang:	Volltext
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