Sparse estimators and the oracle property, or the return of Hodges' estimator

Journal of Econometrics

Volumn 142, Issue 1, 2008, Pages 201-211

  Leeb, Hannes ^a   Pötscher, Benedikt M ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Bridge estimator; Hard thresholding; Hodges' estimator; Lasso; Maximal absolute bias; Maximal risk; Nonuniform limits; Oracle property; Penalized least squares; Penalized maximum likelihood; SCAD; Sparsity

Indexed keywords

COMPUTER SIMULATION; FUNCTION EVALUATION; MAXIMUM LIKELIHOOD ESTIMATION; STATISTICAL METHODS;

BRIDGE ESTIMATORS; HARD-THRESHOLDING; HODGES' ESTIMATOR; MAXIMAL ABSOLUTE BIAS; NONUNIFORM LIMITS; ORACLE PROPERTY; PENALIZED LEAST SQUARES; PENALIZED MAXIMUM LIKELIHOOD;

DATA STRUCTURES;

EID: 36148997227     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.05.017     Document Type: Article

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