Cross-Fitted Residual Regression for High-Dimensional Heteroscedasticity Pursuit

Keyphrases

• Amount of Work 16%
• Concentration Inequalities 16%
• Convergence Rate 16%
• Data Generating Model 16%
• Heteroscedastic Regression Models 16%
• Heteroscedasticity 100%
• High-dimensional BIC 33%
• High-dimensional Regression 16%
• Homoscedasticity 33%
• Linear Regression Model 16%
• Regression Approach 16%
• Residual Regression 100%
• Sparsity Structure 16%
• Tuning Parameter 16%
• Tuning Parameter Selection 16%

Mathematics

• Heteroscedasticity 100%
• Homoscedasticity Assumption 16%
• Linear Regression Model 16%
• Regression Model 16%
• Residuals 100%
• Starting Point 16%