题 目: Tuning parameter selectors for the smoothly clipped absolute deviation method

汇报人：王汉生副教授，拉斯维加斯9888治理学院商务统计与经济计量系

时 间：2006年11月16日，下午2：00－3：00

地 点：拉斯维加斯9888202室

Abstract:

The penalised least squares approach with smoothly clipped absolute deviation penalty has been consistently demonstrated to be an attractive regression shrinkage and selection method. It not only automatically and consistently selects the important variables, but also produces estimators which are as efficient as the oracle estimator. However, these attractive features depend on appropriately choosing the tuning parameter. We show that the commonly used the generalised crossvalidation cannot select the tuning parameter satisfactorily, with a nonignorable overfitting effect in the resulting model. In addition, we propose a \BIC tuning parameter selector, which is shown to be able to identify the true model consistently. Simulation studies are presented to support theoretical findings, and an empirical example is given to illustrate its use in the Female Labor Supply data.

For the complete manuscript:

http://hansheng.gsm.pku.edu.cn/pdf/2006/SCAD-BIC.pdf