On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
高维 ALASSO 残差经验过程及其函数型 oracle 性质
This paper considers post variable-selection inference in a high dimensional penalized regression model based on the ALASSO method of Zou (2006). It is shown that under suitable sparsity conditions, the residual empirical process based on the ALASSO provides valid inference methodology in very high dimensional regression problems where conventional methods fail. It is also shown that the ALASSO based residual empirical process satisfies a functional oracle property, i.e., in…