Asymptotic properties of concave L1-norm group penalties

Ben Sherwood; Aaron J. Molstad; Sumanta Singha

doi:10.1016/j.spl.2019.108631

Asymptotic properties of concave L₁-norm group penalties

Ben Sherwood, Aaron J. Molstad, Sumanta Singha

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

The composition of a concave penalty and the L₁-norm of grouped coefficients allows for selecting groups and identifying important predictors within a group. These estimators have the oracle property at the group level, but not at the individual level.

Original language	English (US)
Article number	108631
Journal	Statistics and Probability Letters
Volume	157
DOIs	https://doi.org/10.1016/j.spl.2019.108631
State	Published - Feb 2020
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2019 Elsevier B.V.

Keywords

Concave penalties
Group variable selection
Oracle property

Publisher link

10.1016/j.spl.2019.108631

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Cite this

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