One-step sparse estimates in nonconcave penalized likelihood models

DOI10.1214/009053607000000802zbMath1142.62027arXiv0808.1012WikidataQ37381912 ScholiaQ37381912MaRDI QIDQ939649

Hui Zou, Run-Ze Li

Publication date: 28 August 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.1012

zbMATH Keywords

AIC; BIC; LASSO; SCAD; oracle properties; one-step estimator

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62G20: Asymptotic properties of nonparametric inference

62J05: Linear regression; mixed models

65C05: Monte Carlo methods