Achieving the oracle property of OEM with nonconvex penalties
Thepenalised least square estimator of non-convex penalties such as the smoothly clipped absolute deviation (SCAD) and the minimax concave penalty (MCP) is highly nonlinear and has many local optima. Finding a local solution to achieve the so-called oracle property is a challenging problem. We show...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2017-01-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2017.1326079 |