Asymptotic oracle properties of SCAD-penalized least squares estimators

DOI10.1214/074921707000000337zbMath1176.62066arXiv0709.0863OpenAlexW1567335713MaRDI QIDQ5324537

Huiliang Xie, Jian Huang

Publication date: 3 August 2009

Published in: Institute of Mathematical Statistics Lecture Notes - Monograph Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.0863

zbMATH Keywords

high-dimensional datavariable selectionpenalized regressionsymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05)

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