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  5. Nonconcave Penalized M-estimation with Diverging Number of Parameters

Nonconcave Penalized M-estimation with Diverging Number of Parameters

来源 :中国数量经济学会 | 被引量 : 0次 | 上传用户：a447047964
【摘 要】
：
M-estimation is a widely used technique for robust statistical inference.In this paper,we study the asymptotic properties of a nonconcave penalized M-estimator in sparse,high-dimensional,linear regres
【作 者】
：
Gaorong Li Heng Peng Lixing Zhu 
【机 构】
：
Beijing University of Technology Hong Kong Baptis
【出 处】
：
中国数量经济学会
【发表日期】
：
2009年12期
【关键词】
：
linear model robust estimation variable selection oracle property SIS rank Corre 
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　　M-estimation is a widely used technique for robust statistical inference.In this paper,we study the asymptotic properties of a nonconcave penalized M-estimator in sparse,high-dimensional,linear regression models.Compared with the classic M-estimation,the nonconcave penalized M-estimation method can do parameter estimation and variable selection simultaneously.The proposed method is resistant to heavy-tailed errors or outliers in the response.
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