Arbeitspapier
Towards a general large sample theory for regularized estimators
We present a general framework for studying regularized estimators; such estimators are pervasive in estimation problems wherein "plug-in" type estimators are either ill-defined or ill-behaved. Within this framework, we derive, under primitive conditions, consistency and a generalization of the asymptotic linearity property. We also provide data-driven methods for choosing tuning parameters that, under some conditions, achieve the aforementioned properties. We illustrate the scope of our approach by studying a wide range of applications, revisiting known results and deriving new ones.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP63/19
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Jansson, Michael
Pouzo, Demian
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2019
- DOI
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doi:10.1920/wp.cem.2019.6319
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jansson, Michael
- Pouzo, Demian
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2019
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