We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large …

deviation (SCAD) estimator introduced in Fan and Li (2001). We find that this estimator can perform rather poorly infinite …

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 …

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 …

-marginal likelihood function with Adaptive LASSO penalty (ALASSO) on regression coefficients. Two main advantages of this procedure are as …

(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 …