Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters

Sangin Lee, Yongdai Kim and Sunghoon Kwon

Statistics & Probability Letters, 2012, vol. 82, issue 9, 1710-1717

Abstract: 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.

Keywords: Nonconvex penalty; SCAD; Smoothly clipped absolute deviation; Oracle property; Quadratic approximation (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.05.012

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