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On the distribution of penalized maximum likelihood estimators: The LASSO,
SCAD
, and thresholding
Pötscher, Benedikt M.
;
Leeb, Hannes
- In:
Journal of Multivariate Analysis
100
(
2009
)
9
,
pp. 2065-2082
We study the distributions of the LASSO,
SCAD
, and thresholding estimators, in finite samples and in the large …
Persistent link: https://www.econbiz.de/10005006479
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