On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
DOI10.1016/j.jmva.2009.06.010zbMath1170.62046arXiv0711.0660OpenAlexW2012328620MaRDI QIDQ842925
Benedikt M. Pötscher, Hannes Leeb
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
asymptotic distributionthresholdingoracle propertyLASSOuniform consistencySCADpenalized maximum likelihoodestimation of distributionfinite-sample distributionpost-model-selection estimator
Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)
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