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Towards a General Large Sample Theory for Regularized Estimators

Michael Jansson () and Demian Pouzo

Papers from arXiv.org

Abstract: We present a general framework for studying regularized estimators; such estimators are pervasive in estimation problems wherein "plug-in" type estimators are either ill-defined or ill-behaved. Within this framework, we derive, under primitive conditions, consistency and a generalization of the asymptotic linearity property. We also provide data-driven methods for choosing tuning parameters that, under some conditions, achieve the aforementioned properties. We illustrate the scope of our approach by studying a wide range of applications, revisiting known results and deriving new ones.

New Economics Papers: this item is included in nep-big and nep-ecm
Date: 2017-12, Revised 2019-06
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