most citedOn the Distribution of the Adaptive LASSO Estimator

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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…