Model Selection in Validation Sampling Data: An Asymptotic Likelihood-based LASSO Approach

• Main Authors: LENG, Chenlei, LEUNG, Denis H. Y.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Asymptotic likelihoodbased LASSO; LASSO; least squaresapproximation; validation sampling.; Econometrics; Economics; Statistics and Probability
• Online Access: https://ink.library.smu.edu.sg/soe_research/1333; https://ink.library.smu.edu.sg/context/soe_research/article/2332/viewcontent/A21n28.pdf
• Institution: Singapore Management University

We propose an asymptotic likelihood-based LASSO approach for model selection in regression analysis when data are subject to validation sampling. The method makes use of an initial estimator of the regression coefficients and their asymptotic covariance matrix to form an asymptotic likelihood. This...