Showing 1 - 10 of 293
We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large …
Persistent link: https://www.econbiz.de/10005837301
deviation (SCAD) estimator introduced in Fan and Li (2001). We find that this estimator can perform rather poorly infinite …
Persistent link: https://www.econbiz.de/10005593633
We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large …-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform …' property of the adaptive LASSO estimator established in Zou 2006). Moreover, we also provide an impossibility result regarding …
Persistent link: https://www.econbiz.de/10005790270
LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length … based on the adaptive LASSO, which is larger than the length of the shortest interval based on the LASSO, which in turn is …
Persistent link: https://www.econbiz.de/10005026624
We study the distribution of hard-, soft-, and adaptive soft-thresholding estimators within a linear regression model where the number of parameters k can depend on sample size n and may diverge with n. In addition to the case of known error-variance, we define and study versions of the...
Persistent link: https://www.econbiz.de/10009148008
In this paper, we investigate the variable selection problem for recurrent event data under the additive rate model. According to the explicit estimator of the regression coefficients of the additive rate model, a loss function is constructed. It has a form similar to the ordinary least squares...
Persistent link: https://www.econbiz.de/10010871439
In this paper, we consider variable selection for general transformation models with right censored data via nonconcave penalties. We will conduct the variable selection by maximizing the penalized log-marginal likelihood function. In the proposed variable selection procedures, we not only can...
Persistent link: https://www.econbiz.de/10010608106
-marginal likelihood function with Adaptive LASSO penalty (ALASSO) on regression coefficients. Two main advantages of this procedure are as …
Persistent link: https://www.econbiz.de/10010574472
(SCCA) for multiple data sets has been proposed using a Lasso type of penalty. However, these methods do not have direct … suggested to further filter out unimportant features. In this paper, a comparison of four penalty functions (Lasso, Elastic …-net, smoothly clipped absolute deviation (SCAD), and Hard-threshold) for SCCA with and without the BIC filtering step have been …
Persistent link: https://www.econbiz.de/10010574479
This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...
Persistent link: https://www.econbiz.de/10011107278