Search Results - subject:"hard thresholding"

Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator

Leeb, Hannes; Poetscher, Benedikt M. - Cowles Foundation for Research in Economics, Yale University - 2005

We point out some pitfalls related to the concept of an oracle property as used in Fan and Li (2001, 2002, 2004) which are reminiscent of the well-known pitfalls related to Hodges’ estimator. The oracle property is often a consequence of sparsity of an estimator. We show that any estimator...

Persistent link: https://www.econbiz.de/10005593633

Adaptive wavelet estimation of a function in an indirect regression model

Chesneau, Christophe; Fadili, Jalal - In: AStA Advances in Statistical Analysis 96 (2012) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10010539405

Nonparametric estimation of density under bias and multiplicative censoring via wavelet methods

Abbaszadeh, Mohammad; Chesneau, Christophe; Doosti, Hassan - In: Statistics & Probability Letters 82 (2012) 5, pp. 932-941

construct a linear nonadaptive estimator and a nonlinear adaptive estimator. The adaptive one belongs to the family of the hard … thresholding estimators. We evaluate their performances by determining upper bounds of the mean integrated squared error over a …

Persistent link: https://www.econbiz.de/10010571805

Selecting Instrumental Variables in a Data Rich Environment

Ng, Serena; Bai, Jushan - In: Journal of Time Series Econometrics 1 (2009) 1

relevant instruments is small. While no single method dominates, a hard-thresholding method based on the t test generally …

Persistent link: https://www.econbiz.de/10014615135

Selecting Instrumental Variables in a Data Rich Environment

Ng, Serena; Bai, Jushan - In: Journal of Time Series Econometrics 1 (2009) 1, pp. 4-4

relevant instruments is small. While no single method dominates, a hard-thresholding method based on the t test generally …

Persistent link: https://www.econbiz.de/10004988901