• Corpus ID: 88516939

Uniform Consistency of the Highly Adaptive Lasso Estimator of Infinite Dimensional Parameters

@article{Laan2017UniformCO,
  title={Uniform Consistency of the Highly Adaptive Lasso Estimator of Infinite Dimensional Parameters},
  author={Mark J. van der Laan and Aur{\'e}lien Bibaut},
  journal={arXiv: Statistics Theory},
  year={2017}
}
Consider the case that we observe $n$ independent and identically distributed copies of a random variable with a probability distribution known to be an element of a specified statistical model. We are interested in estimating an infinite dimensional target parameter that minimizes the expectation of a specified loss function. In \cite{generally_efficient_TMLE} we defined an estimator that minimizes the empirical risk over all multivariate real valued cadlag functions with variation norm… 
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References

Introduction to the theory of integration