High-dimensional, robust, heteroscedastic variable selection with the adaptive LASSO, and applications to random coefficient regression

High-dimensional, robust, heteroscedastic variable selection with the adaptive LASSO, and applications to random coefficient regression

In this thesis, theoretical results for the adaptive LASSO in high-dimensional, sparse linear regression models with potentially heavy-tailed and heteroscedastic errors are developed. In doing so, the empirical pseudo Huber loss is considered as loss function and the main focus is sign-consistency o...

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Bibliografiske detaljer
Hovedforfatter: Hermann, Philipp
Andre forfattere: Holzmann, Hajo (Prof. Dr.) (BetreuerIn (Doktorarbeit))
Format: Dissertation
Sprog:engelsk
Udgivet: Philipps-Universität Marburg 2021
Fag:
sparsity
variable selection
robust regression
Mathematik
high-dimensional regression
linear
sign-consistency
heteroscedasticity
adaptive LASSO
Huber loss
Mathematics
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Beskrivelse
Summary:In this thesis, theoretical results for the adaptive LASSO in high-dimensional, sparse linear regression models with potentially heavy-tailed and heteroscedastic errors are developed. In doing so, the empirical pseudo Huber loss is considered as loss function and the main focus is sign-consistency of the resulting estimator. Simulations illustrate the favorable numerical performance of the proposed methodology in comparison to the ordinary adaptive LASSO. Subsequently, those results are applied to the linear random coefficient regression model, more precisely to the means, variances and covariances of the coefficients. Furthermore, sufficient conditions for the identifiability of the first and second moments, as well as asymptotic results for a fixed number of coefficients are given.
Fysisk beskrivelse:140 Seiten
DOI:10.17192/z2021.0248

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