Article ID Journal Published Year Pages File Type
11020292 Journal of Statistical Planning and Inference 2019 12 Pages PDF
Abstract
We study the consistency of the standard (non-parametric) bootstrap, the m-out-of-n bootstrap, and the oracle bootstrap distributions of some popular LASSO-type estimators in regression models with random predictors. These estimators have an oracle property and are often used in estimation of sparse regression models. A local asymptotic analysis further reveals the behavior of these estimators and of their bootstrap distributions when some regression coefficients approach zero at various rates. In a simulation study, we assess the finite sample properties of the estimators and of their bootstrap distributions for various sample sizes and model parameters. The analysis of a prostate cancer data set shows an application of LASSO-type inference and bootstrap methods in practice.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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