Tootfinder

Tuning parameter selection in econometrics
Denis Chetverikov
https://arxiv.org/abs/2405.03021 https://arxiv.org/pdf/2405.03021…

Tuning parameter selection in econometrics
I review some of the main methods for selecting tuning parameters in nonparametric and $\ell_1$-penalized estimation. For the nonparametric estimation, I consider the methods of Mallows, Stein, Lepski, cross-validation, penalization, and aggregation in the context of series estimation. For the $\ell_1$-penalized estimation, I consider the methods based on the theory of self-normalized moderate deviations, bootstrap, Stein's unbiased risk estimation, and cross-validation in the context of Lasso …