A lava attack on the recovery of sums of dense and sparse signals
Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in which most parameters are zero and there are a small number of nonzero parameters that are large in magnitude, or a dense signal model, a model with no large parameters and very many small nonzero...
Main Authors: | Liao, Yuan, Chernozhukov, Victor V, Hansen, Christian B. |
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Other Authors: | Massachusetts Institute of Technology. Department of Economics |
Format: | Article |
Published: |
Institute of Mathematical Statistics
2018
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Online Access: | http://hdl.handle.net/1721.1/113848 https://orcid.org/0000-0002-3250-6714 |
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