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

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  • Pötscher, Benedikt M.
  • Leeb, Hannes

Abstract

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 tuned to perform conservative model selection. Our findings complement those of Knight and Fu [K. Knight, W. Fu, Asymptotics for lasso-type estimators, Annals of Statistics 28 (2000) 1356-1378] and Fan and Li [J. Fan, R. Li, Variable selection via non-concave penalized likelihood and its oracle properties, Journal of the American Statistical Association 96 (2001) 1348-1360]. We show that the distributions are typically highly non-normal regardless of how the estimator is tuned, and that this property persists in large samples. The uniform convergence rate of these estimators is also obtained, and is shown to be slower than n-1/2 in case the estimator is tuned to perform consistent model selection. An impossibility result regarding estimation of the estimators' distribution function is also provided.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 100 (2009)
Issue (Month): 9 (October)
Pages: 2065-2082

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Handle: RePEc:eee:jmvana:v:100:y:2009:i:9:p:2065-2082

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Related research

Keywords: primary; 62J07; 62J05; 62F11; 62F12; 62E15 Penalized maximum likelihood LASSO SCAD Thresholding Post-model-selection estimator Finite-sample distribution Asymptotic distribution Oracle property Estimation of distribution Uniform consistency;

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References

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  1. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
  2. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany.
  3. Leeb, Hannes & Potscher, Benedikt M., 2008. "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, vol. 142(1), pages 201-211, January.
  4. Knight, Keith, 2008. "Shrinkage Estimation For Nearly Singular Designs," Econometric Theory, Cambridge University Press, vol. 24(02), pages 323-337, April.
  5. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
  6. Leeb, Hannes & P tscher, Benedikt M., 2006. "Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results," Econometric Theory, Cambridge University Press, vol. 22(01), pages 69-97, February.
  7. repec:cup:etheor:v:11:y:1995:i:3:p:537-49 is not listed on IDEAS
  8. Kabaila, Paul, 1995. "The Effect of Model Selection on Confidence Regions and Prediction Regions," Econometric Theory, Cambridge University Press, vol. 11(03), pages 537-549, June.
  9. Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
  10. Hannes Leeb & Benedikt M. Poetscher, 2000. "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics 0004001, EconWPA.
  11. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June.
  12. Rudolf Beran, 1997. "Diagnosing Bootstrap Success," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(1), pages 1-24, March.
  13. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
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Cited by:
  1. Christian Kascha & Carsten Trenkler, 2009. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper 2009/12, Norges Bank.
  2. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
  3. Anders Bredahl Kock, 2012. "On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions," CREATES Research Papers 2012-05, School of Economics and Management, University of Aarhus.

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