The finite sample properties of Sparse M-estimators with Pseudo-Observations

Benjamin Poignard () and Jean-David Fermanian ()
Additional contact information
Benjamin Poignard: Osaka University, Graduate School of Engineering Science.
Jean-David Fermanian: CREST; ENSAE.

No 2019-01, Working Papers from Center for Research in Economics and Statistics

Abstract: We provide finite sample properties of general regularized statistical criteria in the presence of pseudo-observations. Under the restricted strong convexity assump-tion of the unpenalized loss function and regularity conditions on the penalty, we derive non-asymptotic error bounds on the regularized M-estimator that hold with high probability. This penalized framework with pseudo-observations is then ap-plied to the M-estimation of some usual copula-based models. These theoretical results are supported by an empirical study.

Keywords: Non-convex regularizer; copulas; pseudo-observations; statistical consis-tency; exponential bounds. (search for similar items in EconPapers)
Pages: 38 pages
Date: 2019-01-04
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2019-01.pdf CREST working paper version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crs:wpaper:2019-01

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.