Journal article
Asymptotic properties of bridge estimators in sparse high-dimensional regression models
The Annals of statistics, Vol.36(2), pp.587-613
2008
DOI: 10.1214/009053607000000875
Abstract
We study the asymptotic properties of bridge estimators in sparse, high-dimensional, linear regression models when the number of covariates may increase to infinity with the sample size. We are particularly interested in the use of bridge estimators to distinguish between covariates whose coefficients are zero and covariates whose coefficients are nonzero. We show that under appropriate conditions, bridge estimators correctly select covariates with nonzero coefficients with probability converging to one and that the estimators of nonzero coefficients have the same asymptotic distribution that they would have if the zero coefficients were known in advance. Thus, bridge estimators have an oracle property in the sense of Fan and Li [
Details
- Title: Subtitle
- Asymptotic properties of bridge estimators in sparse high-dimensional regression models
- Creators
- Jian Huang - University of Iowa, Statistics and Actuarial ScienceJoel L Horowitz - Northwestern UniversityShuangge Ma - Yale University
- Resource Type
- Journal article
- Publication Details
- The Annals of statistics, Vol.36(2), pp.587-613
- DOI
- 10.1214/009053607000000875
- ISSN
- 0090-5364
- eISSN
- 2168-8966
- Language
- English
- Date published
- 2008
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9983986090002771
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