Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator
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- 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.
References listed on IDEAS
- 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.
- Bunea, Florentina & McKeague, Ian W., 2005. "Covariate selection for semiparametric hazard function regression models," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 186-204, January.
- 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.
- 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,"
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- Hannes Leeb & Benedikt M. Pötscher, 2003. "Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results," Vienna Economics Papers 0301, University of Vienna, Department of Economics.
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More about this item
KeywordsOracle property; Sparsity; Penalized maximum likelihood; Penalized least squares; Hodges’ estimator; SCAD; Lasso; Bridge estimator; Hard-thresholding; Maximal risk; Maximal absolute bias; Non-uniform limits;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-03 (All new papers)
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