Affiliation:
1. Department of Economics, University of California, Santa Cruz (email: )
Abstract
We propose a proximal bootstrap that can consistently estimate the limiting distribution of sqrt(n)-consistent estimators with nonstandardasymptotic distributions in a computationally efficient manner by formulating the proximal bootstrap estimator as the solution to aconvex optimization problem, which can have a closed-form solution for certain designs. This paper considers the application to finite-dimensionalregularized estimators, such as the lasso, l1-norm regularized quantile regression, l1-norm support vector regression, and trace regression via nuclear norm regularization.
Publisher
American Economic Association
Cited by
1 articles.
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