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Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator

Leeb, Hannes; Poetscher, Benedikt M. - Cowles Foundation for Research in Economics, Yale University - 2005

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

On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding.

Pötscher, Benedikt M.; Leeb, Hannes - Volkswirtschaftliche Fakultät, … - 2007

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

Efficient estimation of approximate factor models via penalized maximum likelihood

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011594307

Semiparametric Estimation and Variable Selection for Single-index Copula Models

Yang, Bingduo; Hafner, Christian M.; Liu, Guannan; Long, Wei - 2018

A copula model with flexibly specified dependence structure can be useful to capture the complexity and heterogeneity in economic and financial time series. However, there exists little methodological guidance for the specification process using copulas. This paper contributes to fill this gap...

Persistent link: https://www.econbiz.de/10012433212

Variable selection in the additive rate model for recurrent event data

Chen, Xiaolin; Wang, Qihua - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 491-503

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

Adaptive LASSO for general transformation models with right censored data

Li, Jianbo; Gu, Minggao - In: Computational Statistics & Data Analysis 56 (2012) 8, pp. 2583-2597

-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

Comparison of penalty functions for sparse canonical correlation analysis

Chalise, Prabhakar; Fridley, Brooke L. - In: Computational Statistics & Data Analysis 56 (2012) 2, pp. 245-254

(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

Variable selection for general transformation models with right censored data via nonconcave penalties

Li, Jianbo; Gu, Minggao; Zhang, Riquan - In: Journal of Multivariate Analysis 115 (2013) C, pp. 445-456

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

Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors

Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013

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

Panel data models with grouped factor structure under unknown group membership

Bai, Jushan; Ando, Tomohiro - Volkswirtschaftliche Fakultät, … - 2013

This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. The number of explanatory variables can be large. We estimate the model by minimizing the sum of least squared errors with a shrinkage...

Persistent link: https://www.econbiz.de/10011109578