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Sparse Estimators and the Oracle Property，or the Return of Hodges' Estimator
oracle property sparsity penalized maximum likelihood penalizedleast squares Hodges’ estimator SCAD
2010/4/28
We point out some pitfalls related to the concept of an oracle property as used in Fan
and Li (2001, 2002, 2004) which are reminiscent of the well-known pitfalls related to Hodges’
estimator. The or...