Search Results - subject:"post-model-selection estimator"

Confidence Sets Based on Sparse Estimators Are Necessarily Large

Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2007

Confidence sets based on sparse estimators are shown to be large compared to more standard confidence sets, demonstrating that sparsity of an estimator comes at a substantial price in terms of the quality of the estimator. The results are set in a general parametric or semiparametric framework.

Persistent link: https://www.econbiz.de/10005014743

On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding.

Pötscher, Benedikt M.; Leeb, Hannes - Volkswirtschaftliche Fakultät, … - 2007

We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large-sample limit. The asymptotic distributions are derived for both the case where the estimators are tuned to perform consistent model selection and for the case where the estimators are...

Persistent link: https://www.econbiz.de/10005837301

Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?

Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2005

We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of … a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by … functions (e.g., predictors) of the post-model-selection estimator. …

Persistent link: https://www.econbiz.de/10005619444

Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?

Leeb, Hannes; Potscher, Benedikt M. - Cowles Foundation for Research in Economics, Yale University - 2003

We consider the problem of estimating the conditional distribution of a post-model-selection estimator where the … conditioning is on the selected model. The notion of a post-model-selection estimator here refers to the combined procedure … are also obtained for the conditional distribution of linear functions (e.g., predictors) of the post-model-selection …

Persistent link: https://www.econbiz.de/10005593431

On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding

Pötscher, Benedikt M.; Leeb, Hannes - In: Journal of Multivariate Analysis 100 (2009) 9, pp. 2065-2082

Persistent link: https://www.econbiz.de/10005006479

The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations

Leeb, Hannes; Poetscher, Benedikt M. - EconWPA - 2000

(i) that they do not provide information on the distribution of the post-model-selection estimator conditional on … conditional finite-sample distribution of the post-model-selection estimator which turns out to be complicated and difficult to …In Poetscher [Econometric Theory (1991), 7, pp 163 - 185] the asymptotic distribution of a post-model-selection …

Persistent link: https://www.econbiz.de/10005119210