Estimation of Error Variance in Regularized Regression Models via Adaptive Lasso
Bibliographic record
Abstract
Estimation of error variance in a regression model is a fundamental problem in statistical modeling and inference. In high-dimensional linear models, variance estimation is a difficult problem, due to the issue of model selection. In this paper, we propose a novel approach for variance estimation that combines the reparameterization technique and the adaptive lasso, which is called the natural adaptive lasso. This method can, simultaneously, select and estimate the regression and variance parameters. Moreover, we show that the natural adaptive lasso, for regression parameters, is equivalent to the adaptive lasso. We establish the asymptotic properties of the natural adaptive lasso, for regression parameters, and derive the mean squared error bound for the variance estimator. Our theoretical results show that under appropriate regularity conditions, the natural adaptive lasso for error variance is closer to the so-called oracle estimator than some other existing methods. Finally, Monte Carlo simulations are presented, to demonstrate the superiority of the proposed method.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.011 | 0.029 |
| Meta-epidemiology (narrow) | 0.002 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.002 | 0.002 |
| Open science | 0.002 | 0.003 |
| Research integrity | 0.002 | 0.004 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".