High-Dimensional Gaussian Copula Regression: Adaptive Estimation and Statistical Inference
نویسندگان
چکیده
منابع مشابه
High-Dimensional Gaussian Copula Regression: Adaptive Estimation and Statistical Inference
We develop adaptive estimation and inference methods for high-dimensional Gaussian copula regression that achieve the same optimal performance without the knowledge of the marginal transformations as that for high-dimensional linear regression. Using a Kendall’s tau based covariance matrix estimator, an `1 regularized estimator is proposed and a corresponding de-biased estimator is developed fo...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2018
ISSN: 1017-0405
DOI: 10.5705/ss.202016.0041