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General Shrinkage Rule with Respect to gamma-Norms for Bridge Estimation
Gai Yujie, Zhang Zhanli, Zhang Jun
School of Statistics and Mathematics, Central University of Finance and Economics; Shen Zhen -- Hong Kong Joint Research Centre for Applied Statistical Sciences, College of Mathematics and Computational Science, Institute of Statistical Sciences, Shenzhen University
Bridge regression, a special family of penalized regressions
of a penalty function with
, has been studied in many
literatures. In this paper, we provide some theoretical results of how the shrinkage
rule changing with under two settings:
and
,
respectively. Simulation results are conducted to evaluate the performance of the
proposed method.