Search Results - subject:"oracle"

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 …

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

Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments

Cheng, Xu; Liao, Zhipeng - Department of Economics, University of Pennsylvania - 2012

This paper considers the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis ccommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10010822896

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

oracle property with a diverging number of parameters which extends the results of Kwon et al. (2011). Several numerical …

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

Non-convex penalized estimation in high-dimensional models with single-index structure

Wang, Tao; Xu, Pei-Rong; Zhu, Li-Xing - In: Journal of Multivariate Analysis 109 (2012) C, pp. 221-235

estimators enjoy the oracle property even in the “large p, small n” scenario. The theoretical results for linear models are in …

Persistent link: https://www.econbiz.de/10011042076

Adaptive LASSO for general transformation models with right censored data

Li, Jianbo; Gu, Minggao - In: Computational Statistics & Data Analysis 56 (2012) 8, pp. 2583-2597

, we show that the penalized estimates with ALASSO are n-consistent and enjoy oracle properties. Some simulation examples …

Persistent link: https://www.econbiz.de/10010574472

Sparse estimation in functional linear regression

Lee, Eun Ryung; Park, Byeong U. - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 1-17

correctly, and that they enjoy the oracle property, meaning that the resulting estimators of the coefficient function have … asymptotically the same properties as the oracle estimator which uses knowledge of the underlying model. We investigate and compare …

Persistent link: https://www.econbiz.de/10010576500

Parametric component detection and variable selection in varying-coefficient partially linear models

Wang, Dewei; Kulasekera, K.B. - In: Journal of Multivariate Analysis 112 (2012) C, pp. 117-129

In this paper we are concerned with detecting the true structure of a varying-coefficient partially linear model. The first issue is to identify whether a coefficient is parametric. The second issue is to select significant covariates in both nonparametric and parametric portions. In order to...

Persistent link: https://www.econbiz.de/10010594222

Shrinkage estimation for identification of linear components in additive models

Lian, Heng - In: Statistics & Probability Letters 82 (2012) 2, pp. 225-231

In this short paper, we demonstrate that the popular penalized estimation method typically used for variable selection in parametric or semiparametric models can actually provide a way to identify linear components in additive models. Unlike most studies in the literature, we are NOT performing...

Persistent link: https://www.econbiz.de/10010571819

Model selection in linear mixed effect models

Peng, Heng; Lu, Ying - In: Journal of Multivariate Analysis 109 (2012) C, pp. 109-129

method is a consistent variable selection procedure and possesses some oracle properties. Simulation studies and a real data …

Persistent link: https://www.econbiz.de/10010572296

Bias-corrected GEE estimation and smooth-threshold GEE variable selection for single-index models with clustered data

Lai, Peng; Wang, Qihua; Lian, Heng - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 422-432

we use the same estimating equations), thus achieving the oracle property in the sense of Fan and Li (2001) [10]. The …

Persistent link: https://www.econbiz.de/10010572307