We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform conservative model selection as well as for the case...

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...

We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion like AIC or by a hypothesis...

This paper is concerned with nonparametric statistics for the stress release process. We propose the local time estimator (LTE) for the stationary density and show that it is unbiased and uniformly consistent. The LTE is used in constructing an estimator for the intensity function. A goodness of...

Let {XN,N≥1} be a stationary sequence of associated random variables of interest, and {YN,N≥1} be a sequence of random truncating variables assumed to be independent from {XN,N≥1}. In this paper, we establish strong uniform convergence with a rate of the well-known Lynden-Bell estimator...

We consider the problem of uniform asymptotics in kernel functional estimation where the bandwidth can depend on the data. In a unified approach we investigate kernel estimates of the density and the hazard rate for uncensored and right-censored observations. The model allows for the fixed...