Variance estimation using refitted cross-validation in ultrahigh dimensional regression.

@article{Fan2012VarianceEU,
  title={Variance estimation using refitted cross-validation in ultrahigh dimensional regression.},
  author={Jianqing Fan and Shaojun Guo and Ning Hao},
  journal={Journal of the Royal Statistical Society. Series B, Statistical methodology},
  year={2012},
  volume={74 1},
  pages={
          37-65
        }
}
Variance estimation is a fundamental problem in statistical modelling. In ultrahigh dimensional linear regression where the dimensionality is much larger than the sample size, traditional variance estimation techniques are not applicable. Recent advances in variable selection in ultrahigh dimensional linear regression make this problem accessible. One of the major problems in ultrahigh dimensional regression is the high spurious correlation between the unobserved realized noise and some of the… 
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