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Identification of active factors in supersaturated designs (SSDs) has been the subject of much recent study. Although several methods have been previously proposed, a solution to the problem beyond one or two active factors still seems to be unsatisfactory. The smoothly clipped absolute deviation (SCAD) penalty function for variable selection has nice theoretical properties, but due to its nonconvex...
The asymptotic distribution of the Lasso estimator for regression models with independent errors has been investigated by Knight and Fu (2000). In this note we extend these results to regression models with a general weak dependence structure. We determine the asymptotic distribution of the Lasso estimator when the number of parameters M is fixed and the number of observations, n, converges to infinity...
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