On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding

DOI10.1016/j.jmva.2009.06.010zbMath1170.62046arXiv0711.0660MaRDI QIDQ842925

Hannes Leeb, Benedikt M. Pötscher

Publication date: 28 September 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.0660

zbMATH Keywords

asymptotic distribution; thresholding; oracle property; LASSO; uniform consistency; SCAD; penalized maximum likelihood; estimation of distribution; finite-sample distribution; post-model-selection estimator

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62F12: Asymptotic properties of parametric estimators

62J07: Ridge regression; shrinkage estimators (Lasso)

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

Related Items

Valid post-selection inference, Bootstrapping in non-regular smooth function models, Additive models for quantile regression: model selection and confidence bands, Confidence sets based on penalized maximum likelihood estimators in Gaussian regression, Distributional results for thresholding estimators in high-dimensional Gaussian regression models, The Loss Rank Criterion for Variable Selection in Linear Regression Analysis, Simultaneous multiple non-crossing quantile regression estimation using kernel constraints, Asymptotic properties of the residual bootstrap for Lasso estimators

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