Prediction Consistency of Lasso Regression Does Not Need Normal Errors
Kateřina Hlaváčková-Schindler · Journal of Advances in Mathematics and Computer Science · 2016
Sourav Chatterjee in 2014 proved consistency of any estimator using orthogonal least squares (OLS) together with Lasso penalty under the conditions the observations are upper bounded, with normal errors, and being independent of observations, with a zero mean and a finite varianc...
Open access
Research Article
10.9734/BJMCS/2016/29533