Censored linear model in high dimensions
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Patric Müller [1] ; Sara van de Geer [1]
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[1] Swiss Federal Institute of Technology in Zurich
Swiss Federal Institute of Technology in Zurich
Zürich, Suiza
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- Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 25, Nº. 1, 2016, págs. 75-92
- Idioma: inglés
- DOI: 10.1007/s11749-015-0441-7
- Texto completo no disponible (Saber más ...)
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Resumen
Censored data are quite common in statistics and have been studied in depth in the last years [for some references, see Powell (J Econom 25(3):303–325, 1984), Murphy et al. (Math Methods Stat 8(3):407–425, 1999), Chay and Powell (J Econ Perspect 15(4):29–42, 2001)]. In this paper, we consider censored high-dimensional data. High-dimensional models are in some way more complex than their low-dimensional versions, therefore some different techniques are required. For the linear case, appropriate estimators based on penalised regression have been developed in the last years [see for example Bickel et al. (Ann Stat 37(4):1705–1732, 2009), Koltchinskii (Bernoulli 15:799–828, 2009)]. In particular, in sparse contexts, the l1-penalised regression (also known as LASSO) [see Tibshirani (J R Stat Soc Ser B 58:267–288, 1996), Bühlmann and van de Geer (Statistics for high-dimensional data. Springer, Heidelberg, 2011) and reference therein] performs very well. Only few theoretical work was done to analyse censored linear models in a high-dimensional context. We therefore consider a high-dimensional censored linear model, where the response variable is left censored. We propose a new estimator, which aims to work with high-dimensional linear censored data. Theoretical non-asymptotic oracle inequalities are derived
