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CALIBRATING NON-CONVEX PENALIZED REGRESSION IN ULTRA-HIGH DIMENSION.

ANNALS OF STATISTICS, no. 5 (2013): 2505-2536

Cited: 75|Views27
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Abstract

We investigate high-dimensional nonconvex penalized regression, where the number of covariates may grow at an exponential rate. Although recent asymptotic theory established that there exists a local minimum possessing the oracle property under general conditions, it is still largely an open problem how to identify the oracle estimator am...More

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