S-Space College of Natural Sciences (자연과학대학) Dept. of Statistics (통계학과) Theses (Master's Degree_통계학과)
A Quadratic Approximation Approach on Penalized Estimations : 벌점화 추정법에 대한 이차식 접근 방법
- Issue Date
- 서울대학교 대학원
- 학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2012. 2. 김용대.
- Non-convex penalized estimations have many desirable properties including the oracle property: asymptotic equivalence between the penalized estimator and the true unknown non-penalized estimator. In this paper, we study a quadratic approximation framework studied by (Kwon et al., 2010) for a class of penalties that includes the smoothly clipped absolute deviation (SCAD) and minimax concave penalty (MCP) as special cases. Theoretically, the driven estimator is asymptotically equivalent to the original one so that the oracle property can be preserved up to a diverging number of parameters. Two numerical studies confirm the efficiency of the orcle, ordinary, SCAD, Q-SCAD, MCP, Q-MCP and LSA estimators.
- Files in This Item: There are no files associated with this item.