In this project we want to investigate the distributional properties of shrinkage estimators, such as the popular Lasso estimator and other regularization methods, with the aim of deriving honest confidence sets based on the these estimators. This kind of estimators has seen immense interest in recent statistics literature. However, it is still largely unknown how to construct valid confidence sets based on such an estimator – a question that is both of theoretical as well as of practical interest.
DFG Programme
Research Units
International Connection
Austria
