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Oracle Property

A name given to methods for estimating the regression parameters in models fitted to high dimensional data that have the property that they can correctly select the nonzero coefficients with probability converging to one and that the estimators of the nonzero coefficients are asymptotically normal with the same means and covariances that they would have if the zero coefficients were known in advance, i.e., the estimators are asymptotically as efficient as the ideal estimation assisted by an ‘oracle’ who knows which coefficients are nonzero.

Oracle Property

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