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most citedConfidence Sets Based on Penalized Maximum Likelihood Estimators in Gaussian Regression

37 citations · 91 across the 11 of their papers we have counts for

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math.ST2008★ 37 cited

Confidence Sets Based on Penalized Maximum Likelihood Estimators in Gaussian Regression

Benedikt M. Pötscher, Ulrike Schneider

Confidence intervals based on penalized maximum likelihood estimators such as the LASSO, adaptive LASSO, and hard-thresholding are analyzed. In the known-variance case, the finite-…

math.ST2008★ 3 cited

On the Distribution of the Adaptive LASSO Estimator

Benedikt M. Pötscher, Ulrike Schneider

We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large-sample limit. The large-sample distributions are derived both for t…