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      Confidence intervals in regression centred on the SCAD estimator

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          Abstract

          Consider a linear regression model. Fan and Li (2001) describe the smoothly clipped absolute deviation (SCAD) point estimator of the regression parameter vector. To gain insight into the properties of this estimator, they consider an orthonormal design matrix and focus on the estimation of a specified component of this vector. They show that the SCAD point estimator has three attractive properties. We answer the question: To what extent can an interval estimator, centred on the SCAD estimator, have similar attractive properties?

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          Journal
          2012-03-05
          2012-05-30
          Article
          1203.1093
          d25e8e57-b4f8-4bbe-a134-4e11ef216d9a

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

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          Custom metadata
          Statistics and Probability Letters, 2012, vol 82, pages 1953-1960
          The exposition has been improved
          math.ST stat.TH

          Statistics theory
          Statistics theory

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