As promising alternatives to the LASSO, non-convex penalized methods, such as the SCAD and the minimax concave penalty method, produce asymptotically unbiased shrinkage estimates. By adopting non-convex penalties, in this paper we investigate uniformly variable selection and shrinkage estimation...

An exhaustive search as required for traditional variable selection methods is impractical in high dimensional statistical modeling. Thus, to conduct variable selection, various forms of penalized estimators with good statistical and computational properties, have been proposed during the past...