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math.ST2008★ 3 cited
On the Distribution of the Adaptive LASSO Estimator
Benedikt M. Pötscher, Ulrike Schneider
We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large-sample limit. The large-sample distributions are derived both for t…
math.ST2007★ 35 cited
The distribution of model averaging estimators and an impossibility result regarding its estimation
Benedikt M. Pötscher
The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossib…