Consider a linear regression model. Fan and Li (2001) describe the smoothly clipped absolute deviation (SCAD) point estimator of the regression parameter vector. To gain insight into the properties of this estimator, they consider an orthonormal design matrix and focus on the estimation of a...

Casella, Hwang and Robert, Statistica Sinica, 1993, consider a loss function that is a linear combination of the interval length and the indicator function that this interval includes the parameter of interest. They show that this leads to a confidence interval for the normal mean with...