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options are provided: the conventional least absolute shrinkage and selection operator (LASSO) for metric covariates, and both … group and fused LASSO for categorical predictors. The methods are investigated both for simulated data and for two real data …
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This paper is about the ability and means to root-n consistently and efficiently estimate linear, mean-square continuous functionals of a high dimensional, approximately sparse regression. Such objects include a wide variety of interesting parameters such as the covariance between two regression...
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