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Title: A note on adaptive group lasso
Authors: Wang, H.
Leng, C. 
Issue Date: 15-Aug-2008
Citation: Wang, H., Leng, C. (2008-08-15). A note on adaptive group lasso. Computational Statistics and Data Analysis 52 (12) : 5277-5286. ScholarBank@NUS Repository.
Abstract: Group lasso is a natural extension of lasso and selects variables in a grouped manner. However, group lasso suffers from estimation inefficiency and selection inconsistency. To remedy these problems, we propose the adaptive group lasso method. We show theoretically that the new method is able to identify the true model consistently, and the resulting estimator can be as efficient as oracle. Numerical studies confirmed our theoretical findings. © 2008 Elsevier B.V. All rights reserved.
Source Title: Computational Statistics and Data Analysis
ISSN: 01679473
DOI: 10.1016/j.csda.2008.05.006
Appears in Collections:Staff Publications

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