Achieving the oracle property of OEM with nonconvex penalties

Shifeng Xiong, Bin Dai and Peter Z. G. Qian

Statistical Theory and Related Fields, 2017, vol. 1, issue 1, 28-36

Abstract: Thepenalised least square estimator of non-convex penalties such as the smoothly clipped absolute deviation (SCAD) and the minimax concave penalty (MCP) is highly nonlinear and has many local optima. Finding a local solution to achieve the so-called oracle property is a challenging problem. We show that the orthogonalising EM (OEM) algorithm can indeed find such a local solution with the oracle property under some regularity conditions for a moderate but diverging number of variables.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/24754269.2017.1326079 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:tstfxx:v:1:y:2017:i:1:p:28-36

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/tstf20

DOI: 10.1080/24754269.2017.1326079

Access Statistics for this article

Statistical Theory and Related Fields is currently edited by Zhao Wei

More articles in Statistical Theory and Related Fields from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().