Pawełr. Pordzik, Götz Trenkler, MSE Comparisons of Restricted Least Squares Estimators in Linear Regression Model - Revisited, Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 58, ...

In this article we study post-model selection estimators that apply ordinary least squares (OLS) to the model selected by first-step penalized estimators, typically Lasso. It is well known that Lasso ...