Sparse estimators and the oracle property, or the return of Hodges' estimator

DOI10.1016/j.jeconom.2007.05.017zbMath1418.62272arXiv0704.1466OpenAlexW2019473361MaRDI QIDQ290948

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1466

zbMATH Keywords

sparsity oracle property Lasso SCAD bridge estimator hard-thresholding Hodges' estimator maximal absolute bias maximal risk nonuniform limits penalized least squares penalized maximum likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Estimation in survival analysis and censored data (62N02)

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