Variance estimation using refitted cross-validation in ultrahigh dimensional regression

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 74, Issue 1, 2012, Pages 37-65

  Fan, Jianqing ^a   Guo, Shaojun ^b   Hao, Ning ^c  

^a PRINCETON UNIVERSITY   (United States)

^b INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^c UNIVERSITY OF ARIZONA   (United States)

Author keywords

Data splitting; Dimension reduction; High dimensionality; Refitted cross validation; Sure screening; Variable selection; Variance estimation

Indexed keywords

EID: 84855983910     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/j.1467-9868.2011.01005.x     Document Type: Article

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