Confidence intervals in regression centred on the SCAD estimator

Details Confidence intervals in regression centred on the SCAD estimator Confidence intervals in regression centred on the SCAD estimator

2012-03-06

arxiv.org/abs/1203.1093v1

Mathematics

Statistics Theory

Scientific paper

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 four 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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