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**Smoothly clipped absolute deviation on high dimensions.**
*(English)*
Zbl 1286.62062

Summary: The smoothly clipped absolute deviation (SCAD) estimator, proposed by Fan and Li, has many desirable properties, including continuity, sparsity, and unbiasedness. The SCAD estimator also has the (asymptotically) oracle property when the dimension of covariates is fixed or diverges more slowly than the sample size. In this article we study the SCAD estimator in high-dimensional settings where the dimension of covariates can be much larger than the sample size. First, we develop an efficient optimization algorithm that is fast and always converges to a local minimum. Second, we prove that the SCAD estimator still has the oracle property on high-dimensional problems. We perform numerical studies to compare the SCAD estimator with the LASSO and SIS-SCAD estimators in terms of prediction accuracy and variable selectivity when the true model is sparse. Through the simulation, we show that the variance estimator of Fan and Li still works well for some limited high-dimensional cases where the true nonzero coefficients are not too small and the sample size is moderately large. We apply the proposed algorithm to analyze a high-dimensional microarray data set.