Search Results - subject:"Smoothly clipped absolute deviation"

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Selecting the regularization parameters in high-dimensional panel data models : consistency and efficiency

Ando, Tomohiro; Bai, Jushan - In: Econometric reviews 37 (2018) 1/5, pp. 183-211

Persistent link: https://www.econbiz.de/10012038541

A semiparametric conditional capital asset pricing model

Cai, Zongwu; Ren, Yu; Yang, Bingduo - In: Journal of banking & finance 61 (2015), pp. 117-126

Persistent link: https://www.econbiz.de/10011545159

Functional index coefficient models with variable selection

Cai, Zongwu; Juhl, Ted; Yang, Bingduo - In: Journal of econometrics 189 (2015) 2, pp. 272-284

Persistent link: https://www.econbiz.de/10011504526

Screening active factors in supersaturated designs

Das, Ujjwal; Gupta, Sudhir; Gupta, Shuva - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 223-232

unsatisfactory. The smoothly clipped absolute deviation (SCAD) penalty function for variable selection has nice theoretical …

Persistent link: https://www.econbiz.de/10010871414

Group coordinate descent algorithms for nonconvex penalized regression

Wei, Fengrong; Zhu, Hongxiao - In: Computational Statistics & Data Analysis 56 (2012) 2, pp. 316-326

, based on penalized likelihood. A number of penalty functions have been used for this purpose, including the smoothly clipped … absolute deviation (SCAD) penalty and the minimax concave penalty (MCP). These penalty functions, in comparison to the …

Persistent link: https://www.econbiz.de/10010871377

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

Lee, Sangin; Kim, Yongdai; Kwon, Sunghoon - In: Statistics & Probability Letters 82 (2012) 9, pp. 1710-1717

including the smoothly clipped absolute deviation (SCAD) penalty (Fan and Li, 2001) as a special case. The APE achieves the …

Persistent link: https://www.econbiz.de/10011039940

Confidence intervals in regression centred on the SCAD estimator

Farchione, Davide; Kabaila, Paul - In: Statistics & Probability Letters 82 (2012) 11, pp. 1953-1960

Consider a linear regression model. Fan and Li (2001) describe the smoothly clipped absolute deviation (SCAD) point …

Persistent link: https://www.econbiz.de/10010593899