Browsing Department of Economics by Author "Wang, Lie"

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    • Square-Root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming 

      Belloni, Alexandre; Chernozhukov, Victor; Wang, Lie (Cambridge, MA: Department of Economics; Massachusetts Institute of Technology, 2011-06-13)
      We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors p is large, possibly much larger than n, but only s regressors are significant. The method ...