Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
We study the asymptotic properties of Lasso+mLS and Lasso+ Ridge under the sparse high-dimensional linear regression model: Lasso selecting predictors and then modified Least Squares (mLS) or Ridge estimating their coefficients. First, we propose a valid inference procedure for parameter estimation based on parametric residual bootstrap after Lasso+ mLS and …