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Regularized bridge-type estimation with multiple penalties

Author

Listed:
  • Alessandro Gregorio

    (“Sapienza” University of Rome)

  • Francesco Iafrate

    (“Sapienza” University of Rome)

Abstract

The aim of this paper is to introduce an adaptive penalized estimator for identifying the true reduced parametric model under the sparsity assumption. In particular, we deal with the framework where the unpenalized estimator of the structural parameters needs simultaneously multiple rates of convergence (i.e., the so-called mixed-rates asymptotic behavior). We introduce a bridge-type estimator by taking into account penalty functions involving $$\ell ^q$$ ℓ q norms (0

Suggested Citation

  • Alessandro Gregorio & Francesco Iafrate, 2021. "Regularized bridge-type estimation with multiple penalties," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(5), pages 921-951, October.
    • Handle: RePEc:spr:aistmt:v:73:y:2021:i:5:d:10.1007_s10463-020-00769-w
    DOI: 10.1007/s10463-020-00769-w
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