Are Latent Factor Regression and Sparse Regression Adequate?
Factor model
High-dimensional Inference
Hypothesis
Robustness
Sparse linear regression
Journal
Journal of the American Statistical Association
ISSN: 0162-1459
Titre abrégé: J Am Stat Assoc
Pays: United States
ID NLM: 01510020R
Informations de publication
Date de publication:
2024
2024
Historique:
pmc-release:
01
01
2025
medline:
13
9
2024
pubmed:
13
9
2024
entrez:
13
9
2024
Statut:
ppublish
Résumé
We propose the Factor Augmented (sparse linear) Regression Model (FARM) that not only admits both the latent factor regression and sparse linear regression as special cases but also bridges dimension reduction and sparse regression together. We provide theoretical guarantees for the estimation of our model under the existence of sub-Gaussian and heavy-tailed noises (with bounded (1 +
Identifiants
pubmed: 39268549
doi: 10.1080/01621459.2023.2169700
pmc: PMC11390100
mid: NIHMS1871922
doi:
Types de publication
Journal Article
Langues
eng
Pagination
1076-1088Références
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