We gratefully acknowledge support from
the Simons Foundation and member institutions.
Full-text links:

Download:

Current browse context:

math.ST

Change to browse by:

References & Citations

Bookmark

(what is this?)
CiteULike logo BibSonomy logo Mendeley logo del.icio.us logo Digg logo Reddit logo

Mathematics > Statistics Theory

Title: The oracle property of the generalized outcome adaptive lasso

Abstract: The generalized outcome-adaptive lasso (GOAL) is a variable selection for high-dimensional causal inference proposed by Bald\'e et al. [2023, {\em Biometrics} {\bfseries 79(1)}, 514--520]. When the dimension is high, it is now well established that an ideal variable selection method should have the oracle property to ensure the optimal large sample performance. However, the oracle property of GOAL has not been proven. In this paper, we show that the GOAL estimator enjoys the oracle property. Our simulation shows that the GOAL method deals with the collinearity problem better than the oracle-like method, the outcome-adaptive lasso (OAL).
Subjects: Statistics Theory (math.ST); Methodology (stat.ME)
Cite as: arXiv:2310.00250 [math.ST]
  (or arXiv:2310.00250v2 [math.ST] for this version)

Submission history

From: Ismaïla Baldé [view email]
[v1] Sat, 30 Sep 2023 04:45:20 GMT (6kb)
[v2] Sun, 9 Jun 2024 01:59:04 GMT (342kb,D)

Link back to: arXiv, form interface, contact.