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U. Schneider:
"On distributional properties of Lasso-type estimators";
Talk: Forschungsseminar Mathematische Statistik, Humboldt Universit ät Berlin, Berlin, Deutschland (invited); 2014-11-26.

Penalized least-squares estimators, such as the famous Lasso estimator, have been studied
intensively in the statistics literature in the past decade. While many aspects of these estimators are
Forschungsseminar Mathematische Statistik - F... http://www.math.hu-berlin.de/forschung/forschun...
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well-understood, still, relatively little is known about their distributional properties, such as finite- and
large-sample distributions, uniform convergence rates and, in particular, confidence sets. We present
exemplary results for the adaptive Lasso estimator and discuss why the approach often taken in the
literature only gives partial answers.