Generalized linear models with structured sparsity estimators

A-Tier
Journal: Journal of Econometrics
Year: 2023
Volume: 236
Issue: 2

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper, we introduce structured sparsity estimators for use in Generalized Linear Models. Structured sparsity estimators in the least squares loss are introduced by Stucky and van de Geer (2018). Their proofs exclusively depend on their use of fixed design and normal errors. We extend their results to debiased structured sparsity estimators with Generalized Linear Model based loss through incorporating random design and non-sub Gaussian data. Structured sparsity estimation means that penalized loss functions with a possible sparsity structure in a norm. These norms include norms generated from convex cones.

Technical Details

RePEc Handle
repec:eee:econom:v:236:y:2023:i:2:s030440762300194x
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25