Optimal Shrinkage/Selection and Oracle Properties

We discuss properties of the shrinkage estimators that provide both shrinkage and selection from frequentist and Bayesian paradigms.

Readings:

• Seber & Lee Chapter 12

• Fan & Li (2001) “Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties”

• Tibshirani (1996) “Regression Shrinkage and Selection via the Lasso”

• Carvalho, Polson & Scott (2009) “Handling Sparsity via the Horseshoe”

• Armagan, Dunson & Lee (2013) “Generalized Double Pareto Shrinkage”