3 papers
econ.TH2026
Convex Duality in Perturbed Utility Route Choice
Mogens Fosgerau, Jesper R. -V. Sørensen
This paper develops a highly general convex duality framework for the perturbed utility route choice (PURC) model. We show that the traveler's constrained, potentially non-smooth u…
econ.EM2024
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
Anders Bredahl Kock, Rasmus Søndergaard Pedersen, Jesper Riis-Vestergaard Sørensen
Lasso-type estimators are routinely used to estimate high-dimensional time series models. The theoretical guarantees established for these estimators typically require the penalty…
math.ST2021
Selecting Penalty Parameters of High-Dimensional M-Estimators using Bootstrapping after Cross-Validation
Denis Chetverikov, Jesper Riis-Vestergaard Sørensen
We develop a new method for selecting the penalty parameter for -penalized M-estimators in high dimensions, which we refer to as bootstrapping after cross-validation. We…