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Confidence Sets Based on Sparse Estimators Are Necessarily Large

Pötscher, Benedikt M. (2007): Confidence Sets Based on Sparse Estimators Are Necessarily Large.

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Abstract

Confidence sets based on sparse estimators are shown to be large compared to more standard confidence sets, demonstrating that sparsity of an estimator comes at a substantial price in terms of the quality of the estimator. The results are set in a general parametric or semiparametric framework.

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