SCAD-Penalized Least Absolute Deviation Regression in High-Dimensional Models

DOI10.1080/03610926.2013.781643zbMath1328.62111OpenAlexW2039730403MaRDI QIDQ3462376

Lixin Song, Mingqiu Wang, Guo-Liang Tian

Publication date: 5 January 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.781643

zbMATH Keywords

empirical processvariable selectionoracle propertystochastic equicontinuityLAD-SCAD estimatorrank correlation screening

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Statistical ranking and selection procedures (62F07)

Related Items

Regularization statistical inferences for partially linear models with high dimensional endogenous covariates ⋮ Sparse and robust estimation with ridge minimax concave penalty ⋮ A new active zero set descent algorithm for least absolute deviation with generalized LASSO penalty ⋮ Fused Lasso penalized least absolute deviation estimator for high dimensional linear regression ⋮ Multiple-try simulated annealing algorithm for global optimization ⋮ Local Walsh-average-based estimation and variable selection for single-index models

Cites Work

• Nearly unbiased variable selection under minimax concave penalty
• The Adaptive Lasso and Its Oracle Properties
• On M-processes and M-estimation
• One-step sparse estimates in nonconcave penalized likelihood models
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
• Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation
• Asymptotics with increasing dimension for robust regression with applications to the bootstrap
• Hedonic housing prices and the demand for clean air
• Asymptotic behavior of M-estimators for the linear model
• On parameters of increasing dimensions
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Asymptotics for Lasso-type estimators.
• Nonconcave penalized likelihood with a diverging number of parameters.
• On the adaptive elastic net with a diverging number of parameters
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Asymptotic oracle properties of SCAD-penalized least squares estimators
• Tuning parameter selectors for the smoothly clipped absolute deviation method