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Cited by 1,276

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Asymptotics for lasso-type estimators

Fu, Wenjiang, Knight, Keith·2000·The Annals of Statistics
DOI 10.1214/aos/1015957397
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Abstract

We consider the asymptotic behavior ofregression estimators that minimize the residual sum of squares plus a penalty proportional to $\sum|\beta_j|^{\gamma}$. for some $\gamma > 0$. These estimators include the Lasso as a special case when $\gamma = 1$. Under appropriate conditions, we show that the limiting distributions can have positive probability mass at 0 when the true value of the parameter is 0.We also consider asymptotics for “nearly singular” designs.

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Research works printed but not linked: 14

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Cited by

Metadata

Authors
Fu, W., & Knight, K.
Venue
The Annals of Statistics
Publisher
Institute of Mathematical Statistics
Published
2000-10-01
Volume
28
Issue
5
Pages
1356-1378
ISSN
0090-5364 (ISSN-L)
DOI
10.1214/aos/1015957397
OpenAlex
W1968694834
Cited by
1,276
References
2
FWCI
1.88
Type
journal article
Language
en
Open access
closed

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