Asymptotic properties of concave L1-norm group penalties

Sherwood, B and Molstad, A J and Singha, S (2020) Asymptotic properties of concave L1-norm group penalties. Statistics & Probability Letters, 157. ISSN 0167-7152

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Abstract

The composition of a concave penalty and the -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.

Affiliation: Indian School of Business
ISB Creators:
ISB CreatorsORCiD
Singha, Shttps://orcid.org/0000-0003-3794-127X
Item Type: Article
Uncontrolled Keywords: Group Variable Selection, Oracle Property, Concave Penalties
Depositing User: Mohan Dass
Date Deposited: 18 Apr 2020 05:08
Last Modified: 18 Apr 2020 05:08
URI: http://eprints.exchange.isb.edu/id/eprint/1367
Publisher URL: https://doi.org/10.1016/j.spl.2019.108631
Publisher OA policy: http://sherpa.ac.uk/romeo/issn/0167-7152/
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