Search Results - subject:"post selection inference"

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Asymptotic post-selection inference for Akaike's information criterion

Charkhi, Ali; Claeskens, Gerda - 2018

Persistent link: https://www.econbiz.de/10011799016

Taming the factor zoo : a test of new factors

Giglio, Stefano; Feng, Gavin; Xiu, Dacheng - 2020

Persistent link: https://www.econbiz.de/10012195919

Uniform post selection inference for LAD regression and other Z-estimation problems

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2014

We develop uniformly valid confidence regions for regression coefficients in a highdimensional sparse median regression model with homoscedastic errors. Our methods are based on a moment equation that is immunized against non-regular estimation of the nuisance part of the median regression...

Persistent link: https://www.econbiz.de/10011445709

Uniform post selection inference for LAD regression and other Z-estimation problems

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2014

Persistent link: https://www.econbiz.de/10010462672

Uniform post selection inference for LAD regression models

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2013

model- even in the setting with p= 2. We also provide Monte-Carlo experiments which demonstrate that standard post-selection … inference breaks down over large parts of the parameter space, and the proposed method does not. …

Persistent link: https://www.econbiz.de/10010318732

Uniform post selection inference for LAD regression models

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - Centre for Microdata Methods and Practice (CEMMAP) - 2013

Persistent link: https://www.econbiz.de/10010663599

Uniform post selection inference for LAD regression models

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2013

Persistent link: https://www.econbiz.de/10009747946