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stat.ME2025
Autotune: fast, accurate, and automatic tuning parameter selection for Lasso
Tathagata Sadhukhan, Ines Wilms, Stephan Smeekes +1
Least absolute shrinkage and selection operator (Lasso), the popular variable selection engine for high-dimensional regression, is commonly tuned using cross-validation (CV). This…
stat.ME2018
Autoregressive Wild Bootstrap Inference for Nonparametric Trends
Marina Friedrich, Stephan Smeekes, Jean-Pierre Urbain
In this paper we propose an autoregressive wild bootstrap method to construct confidence bands around a smooth deterministic trend. The bootstrap method is easy to implement and do…