Least Squares after Model Selection in High-Dimensional Sparse Models

Least Squares after Model Selection in High-Dimensional Sparse Models

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Note: new title. Former title = Post-ℓ1-Penalized Estimators in High-Dimensional Linear Regression Models. First Version submitted March 29, 2010; Orig. date Jan 4, 2009; this revision June 14, 2011

Bibliographic Details
Main Authors: Belloni, Alexandre, Chernozhukov, Victor
Format: Working Paper
Language:English
Published: Cambridge, MA: Dept. of Economics, M.I.T. 2011
Subjects:
Lasso. OLS Post Lasso, Post-Model-Selection Estimators
Online Access:http://hdl.handle.net/1721.1/65111

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