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Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters

We propose an approximated penalized estimator (APE) that covers various statistical models and nonconvex penalties including the smoothly clipped absolute deviation (SCAD) penalty (Fan and Li, 2001) as a special case. The APE achieves the oracle property with a diverging number of parameters which extends the results of Kwon et al. (2011). Several numerical studies confirm the theoretical results.
Year of publication:
2012
Authors: Lee, Sangin ; Kim, Yongdai ; Kwon, Sunghoon
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 9, p. 1710-1717
Publisher: Elsevier
Subject: Nonconvex penalty | SCAD | Smoothly clipped absolute deviation | Oracle property | Quadratic approximation
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011039940
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