Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator
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- Leeb, Hannes & Potscher, Benedikt M., 2008. "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, vol. 142(1), pages 201-211, January.
References listed on IDEAS
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More about this item
Keywords
Oracle property; Sparsity; Penalized maximum likelihood; Penalized least squares; Hodges’ estimator; SCAD; Lasso; Bridge estimator; Hard-thresholding; Maximal risk; Maximal absolute bias; Non-uniform limits;All these keywords.
JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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