Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models

14 Aug 2013

We study confidence intervals based on hard-thresholding, soft-thresholding, and adaptive soft-thresholding in a linear regression model where the number of regressors $k$ may depend on and diverge with sample size $n$. In addition to the case of known error variance, we define and study versions of the estimators when the error variance is unknown... (read more)

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