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Quadratic approximation on SCAD penalized estimation. (English) Zbl 1247.62107

Summary: We propose a method of quadratic approximation that unifies various types of smoothly clipped absolute deviation (SCAD) penalized estimations. For convenience, we call it the quadratically approximated SCAD penalized estimation (Q-SCAD). We prove that the proposed Q-SCAD estimator achieves the oracle property and requires only the least angle regression (LARS) algorithm for computation. Numerical studies including simulations and real data analysis confirm that the Q-SCAD estimator performs as efficient as the original SCAD estimator.

MSC:

62G05 Nonparametric estimation
65C60 Computational problems in statistics (MSC2010)

Software:

LASSO
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Full Text: DOI

References:

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