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math.ST2023
A Unified Framework for Pattern Recovery in Penalized and Thresholded Estimation and its Geometry
Piotr Graczyk, Ulrike Schneider, Tomasz Skalski +1
We consider the framework of penalized estimation where the penalty term is given by a real-valued polyhedral gauge, which encompasses methods such as LASSO, generalized LASSO, SLO…
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…