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-sample limit. The asymptotic distributions are derived for both the case where the estimators are tuned to perform consistent model selection and for the case where the estimators are...