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

3 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

Find It

Find It at U of M Libraries

Cite this

@article{aba4a1601c9f4a20b92df509271f4dce,

title = "Asymptotic properties of concave L1-norm group penalties",

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.",

keywords = "Concave penalties, Group variable selection, Oracle property",

author = "Ben Sherwood and Molstad, \{Aaron J.\} and Sumanta Singha",

note = "Publisher Copyright: {\textcopyright} 2019 Elsevier B.V.",

year = "2020",

month = feb,

doi = "10.1016/j.spl.2019.108631",

language = "English (US)",

volume = "157",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Asymptotic properties of concave L1-norm group penalties

AU - Sherwood, Ben

AU - Molstad, Aaron J.

AU - Singha, Sumanta

PY - 2020/2

Y1 - 2020/2

N2 - 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.

AB - 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.

KW - Concave penalties

KW - Group variable selection

KW - Oracle property

UR - https://www.scopus.com/pages/publications/85072821229

UR - https://www.scopus.com/pages/publications/85072821229#tab=citedBy

U2 - 10.1016/j.spl.2019.108631

DO - 10.1016/j.spl.2019.108631

M3 - Article

AN - SCOPUS:85072821229

SN - 0167-7152

VL - 157

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

M1 - 108631

ER -