Likelihood adaptively modified penalties

Yang Feng, Tengfei Li and Zhiliang Ying

Applied Stochastic Models in Business and Industry, 2019, vol. 35, issue 2, 330-353

Abstract: A new family of penalty functions, ie, adaptive to likelihood, is introduced for model selection in general regression models. It arises naturally through assuming certain types of prior distribution on the regression parameters. To study the stability properties of the penalized maximum‐likelihood estimator, 2 types of asymptotic stability are defined. Theoretical properties, including the parameter estimation consistency, model selection consistency, and asymptotic stability, are established under suitable regularity conditions. An efficient coordinate‐descent algorithm is proposed. Simulation results and real data analysis show that the proposed approach has competitive performance in comparison with the existing methods.

Date: 2019
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https://doi.org/10.1002/asmb.2322

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:35:y:2019:i:2:p:330-353

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