On cross-validated Lasso in high dimensions

Author(s)
Chetverikov, Denis; Liao, Zhipeng; Chernozhukov, Victor
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Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/
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Date issued
2021
URI
https://hdl.handle.net/1721.1/144460
Department
Massachusetts Institute of Technology. Department of Economics; Statistics and Data Science Center (Massachusetts Institute of Technology)
Journal
The Annals of Statistics
Publisher
Institute of Mathematical Statistics
Citation
Chetverikov, Denis, Liao, Zhipeng and Chernozhukov, Victor. 2021. "On cross-validated Lasso in high dimensions." The Annals of Statistics, 49 (3).
Version: Original manuscript
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