Confidence intervals in regression centred on the SCAD estimator
by Paul Kabaila
Abstract: Consider a linear regression model. Fan and Li (2001,JASA) describe the smoothly clipped absolute deviation (SCAD point estimator of the regression parameter vector. To gain insight into the properties of this estimator, they consider an orthonormal design matrix and focus on the estimation of a specified component of this vector. They show that the SCAD point estimator has several attractive properties.In joint work with Davide Farchione, we answer the question: To what extent can an interval estimator centred on the SCAD estimator have similar attractive properties?
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