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Likelihood Adaptively Modified Penalties
A new family of penalty functions, adaptive to likelihood, is introduced for
model selection in general regression models. It arises naturally through
assuming certain types of prior distribution on the regression parameters. To
study stability properties of the penalized maximum likelihood estimator, two
types of asymptotic stability are defined. Theoretical properties, including
the parameter estimation consistency, model selection consistency, and
asymptotic stability, are established under suitable regularity conditions. An
efficient coordinate-descent algorithm is proposed. Simulation results and real
data analysis show that the proposed method has competitive performance in
comparison with existing ones.Comment: 42 pages, 4 figure
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