On the Distribution of Penalized Maximum Likelihood Estimators: The LASSO, SCAD, and Thresholding
نویسندگان
چکیده
منابع مشابه
On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding
We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large-sample limit. The asymptotic distributions are derived for both the case where the estimators are tuned to perform consistent model selection and for the case where the estimators are tuned to perform conservative model selection. Our findings complement those of Knight and Fu (2000) a...
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Extraction of as much information as possible from huge data is a burning issue in the modern statistics due to more variables as compared to observations therefore penalization has been employed to resolve that kind of issues. A lot of achievements have already been made by such techniques. Due to the large number of variables in many research areas declare it a high dimensional problem and wi...
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Abstract. In this paper we consider some four-parametric, so-called Generalized Pareto-like Frequency Distribution, which have been constructed using stochastic Birth-Death Process in order to model phenomena arising in Bioinformatics (Astola and Danielian, 2007). As examples, two ”real data” sets on the number of proteins and number of residues for analyzing such distribution are given. The co...
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Confidence intervals based on penalized maximum likelihood estimators such as the LASSO, adaptive LASSO, and hard-thresholding are analyzed. In the known-variance case, the finite-sample coverage properties of such intervals are determined and it is shown that symmetric intervals are the shortest. The length of the shortest intervals based on the hard-thresholding estimator is larger than the l...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1027629