Asymptotic oracle properties of SCAD-penalized least squares estimators

DOI10.1214/074921707000000337zbMath1176.62066arXiv0709.0863MaRDI 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 data; variable selection; penalized regression; symptotic normality

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62J07: Ridge regression; shrinkage estimators (Lasso)

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

60F05: Central limit and other weak theorems

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