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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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
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ISB CreatorsORCiD
Singha, S
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
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