Jesper R-V Sørensen

Selected Publications

Working Paper
Analytic and bootstrap-after-cross-validation methods for selecting penalty parameters of high-dimensional M-estimators

We develop two new methods for selecting the penalty parameter for the e1-penalized high-dimensional M-estimator, which […]

Denis Chetverikov, Jesper R-V Sørensen
11 January 2022 | CWP03/22

Previous version

Analytic and bootstrap-after-cross-validation methods for selecting penalty parameters of high-dimensional M-estimators
Denis Chetverikov, Jesper R-V Sørensen
20 April 2021 | CWP20/21
Analytic and bootstrap-after-cross-validation methods for selecting penalty parameters of high-dimensional M-estimators

We develop two new methods for selecting the penalty parameter for the L1-penalized high-dimensional M-estimator, which […]

Denis Chetverikov, Jesper R-V Sørensen
20 April 2021 | CWP20/21
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