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An asymptotically optimal selection of regression variables is proposed. The key assumption is that the number of control variables is infinite or increases with the sample size. It is also shown that ...
Pingyan Chen, Tao Zhang, Soo Hak Sung, STRONG LAWS FOR RANDOMLY WEIGHTED SUMS OF RANDOM VARIABLES AND APPLICATIONS IN THE BOOTSTRAP AND RANDOM DESIGN REGRESSION, Statistica Sinica, Vol. 29, No. 4 ...