Asymptotic Properties of Bridge Estimators in Sparse High-Dimensional Regression Models

@inproceedings{Huang2006AsymptoticPO,
  title={Asymptotic Properties of Bridge Estimators in Sparse High-Dimensional Regression Models},
  author={Jian Huang},
  year={2006}
}
We study the asymptotic properties of bridge estimators in sparse, high-dimensional, linear regression models when the number of covariates may increase to infinity with the sample size. We are particularly interested in the use of bridge estimators to distinguish between covariates whose coefficients are zero and covariates whose coefficients are nonzero. We show that under appropriate conditions, bridge estimators correctly select covariates with nonzero coefficients with probability… CONTINUE READING
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