On distributional properties of Lasso-type estimators

Ulrike Schneider (Wien)
Wednesday, November 26, 2014 - 10:00am
WIAS, Hausvogteiplatz 11a, 10117 Berlin, Raum 4.13

Penalized least-squares estimators, such as the famous Lasso estimator, have been studied intensively in the statistics literature in the past decade. While many aspects of these estimators are well-understood, still, relatively little is known about their distributional properties, such as finite- and large-sample distributions, uniform convergence rates and, in particular, confidence sets. We present exemplary results for the adaptive Lasso estimator and discuss why the approach often taken in the literature only gives partial answers.