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The Adaptive Lasso and Its Oracle Properties
users.stat.umn.eduoracle properties: IdentiÞes the right subset model, {j: j = 0}= A Has the optimal estimation rate, n( () A A) d N (0, ), where is the covariance matrix knowing the true subset model. It has been argued (Fan and Li 2001; Fan and Peng 2004) that a good procedure should have these oracle properties. How-
The Adaptive Lasso and Its Oracle Properties
pages.cs.wisc.eduSimilar to the lasso, the adaptive lasso is shown to be near-minimax optimal. Furthermore, the adaptive lasso can be solved by the same efÞcient algorithm for solving the lasso. We also discuss the extension of the adaptive lasso in generalized linear models and show that the oracle properties still hold under mild regularity conditions.