Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters
We propose an approximated penalized estimator (APE) that covers various statistical models and nonconvex penalties including the smoothly clipped absolute deviation (SCAD) penalty (Fan and Li, 2001) as a special case. The APE achieves the oracle property with a diverging number of parameters which extends the results of Kwon et al. (2011). Several numerical studies confirm the theoretical results.
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Volume (Year): 82 (2012)
Issue (Month): 9 ()
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- Kwon, Sunghoon & Choi, Hosik & Kim, Yongdai, 2011. "Quadratic approximation on SCAD penalized estimation," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 421-428, January.
- 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.
- Kim, Yongdai & Choi, Hosik & Oh, Hee-Seok, 2008. "Smoothly Clipped Absolute Deviation on High Dimensions," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1665-1673.
- Leng, Chenlei & Li, Bo, 2010. "Least squares approximation with a diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 254-261, February.
- Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
- Clifford Lam & Jianqing Fan, 2008. "Profile-kernel likelihood inference with diverging number of parameters," LSE Research Online Documents on Economics 31548, London School of Economics and Political Science, LSE Library.
- 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.
- He, Xuming & Shao, Qi-Man, 2000. "On Parameters of Increasing Dimensions," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 120-135, April.
- Hansheng Wang & Bo Li & Chenlei Leng, 2009. "Shrinkage tuning parameter selection with a diverging number of parameters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 671-683.
- Yongdai Kim & Sunghoon Kwon, 2012. "Global optimality of nonconvex penalized estimators," Biometrika, Biometrika Trust, vol. 99(2), pages 315-325.
- Wang, Hansheng & Leng, Chenlei, 2007. "Unified LASSO Estimation by Least Squares Approximation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1039-1048, September.
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