On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator

• Ando, Tomohiro

• 末石, 直也

抄録

This paper investigates the asymptotic properties of a penalized empirical likelihood estimator for moment restriction models when the number of parameters (pn) and/or the number of moment restrictions increases with the sample size. Our main result is that the SCAD-penalized empirical likelihood estimator is √n/pn-consistent under a reasonable condition on the regularization parameter. Our consistency rate is better than the existing ones. This paper also provides sufficient conditions under which √n/pn-consistency and an oracle property are satisfied simultaneously. As far as we know, this paper is the first to specify sufficient conditions for both √n/pn-consistency and the oracle property of the penalized empirical likelihood estimator.

収録刊行物

• Econometrics

  Econometrics 7 (1), 15-15, 2019-03-20

  MDPI

キーワード

• diverging number of parameters
• penalized empirical likelihood
• sparse models

詳細情報

• CRID: 1050012570392945408
• NII論文ID: 120006631011
• ISSN: 22251146
• HANDLE: 20.500.14094/90005993
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • CiNii Articles