Wang, Tao; Xu, Pei-Rong; Zhu, Li-Xing - In: Journal of Multivariate Analysis 109 (2012) C, pp. 221-235
As promising alternatives to the LASSO, non-convex penalized methods, such as the SCAD and the minimax concave penalty method, produce asymptotically unbiased shrinkage estimates. By adopting non-convex penalties, in this paper we investigate uniformly variable selection and shrinkage estimation...