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Rejoinder: One-step sparse estimates in nonconcave penalized likelihood models. (English) Zbl 1282.62112
Summary: We would like to take this opportunity to thank the discussants for their thoughtful comments and encouragements [P. Bühlmann and L. Meier, ibid. 36, No. 4, 1534–1541 (2008; Zbl 1282.62096); X.-L. Meng, ibid. 36, No. 4, 1542–1552 (2008; Zbl 1282.62104); C.-H. Zhang, ibid. 36, No. 4, 1553–1560 (2008; Zbl 1282.62110)] on our work [ibid. 36, No. 4, 1509–1533 (2008; Zbl 1142.62027)]. The discussants raised a number of issues from theoretical as well as computational perspectives. Our rejoinder will try to provide some insights into these issues and address specific questions asked by the discussants.

62G08 Nonparametric regression and quantile regression
65C60 Computational problems in statistics (MSC2010)
62J05 Linear regression; mixed models
62J07 Ridge regression; shrinkage estimators (Lasso)
65C05 Monte Carlo methods
62G20 Asymptotic properties of nonparametric inference
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