442 citations
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Showing 2007 · math.STShow all
2 papers · 2 filters
math.ST2007★ 10 cited
On the Distribution of Penalized Maximum Likelihood Estimators: The LASSO, SCAD, and Thresholding
Benedikt M. Potscher, Hannes Leeb
We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large-sample limit. The asymptotic distributions are derived for both the c…
math.ST2007★ 239 cited
Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator
Hannes Leeb, Benedikt M. Poetscher
We point out some pitfalls related to the concept of an oracle property as used in Fan and Li (2001, 2002, 2004) which are reminiscent of the well-known pitfalls related to Hodges'…