Nonconcave penalized M-estimation for the least absolute relative errors model. (English) Zbl 07649691
Summary: In this paper, we propose a nonconcave penalized M-estimation of the least absolute relative errors (penalized M-LARE) method for a sparse multiplicative regression model, where the dimension of model can increase with the sample size. Under certain appropriate conditions, the consistency and asymptotic normality for the penalized M-LARE estimator are established. Simulations and a real data analysis are in support of our theoretical results and illustrate that the proposed method performs well.
MSC:
| 62-XX | Statistics |
References:
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