Broken adaptive ridge regression and its asymptotic properties

This paper studies the asymptotic properties of a sparse linear regression estimator, referred to as broken adaptive ridge (BAR) estimator, resulting from an L 0-based iteratively reweighted L 2 penalization algorithm using the ridge estimator as its initial value. We show that the BAR estimator is...

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Détails bibliographiques

Publié dans:	Journal of multivariate analysis. - 1998. - 168(2018) vom: 25. Nov., Seite 334-351
Auteur principal:	Dai, Linlin (Auteur)
Autres auteurs:	Chen, Kani, Sun, Zhihua, Liu, Zhenqiu, Li, Gang
Format:	Article en ligne
Langue:	English
Publié:	2018
Accès à la collection:	Journal of multivariate analysis
Sujets:	Journal Article Feature selection Grouping effect L0-penalized regression Oracle estimator Sparsity recovery