Nonconcave penalized likelihood with a diverging number of parameters.

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Publication:1879926

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DOI10.1214/009053604000000256zbMath1092.62031arXivmath/0406466OpenAlexW2014360396MaRDI QIDQ1879926

Heng Peng, Jianqing Fan

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406466

zbMATH Keywords

asymptotic normality model selection likelihood ratio statistic standard errors oracle property nonconcave penalized likelihood diverging parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

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