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: 108631. 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.

Item Type: Article
Date Deposited: 18 Apr 2020 05:08
Last Modified: 06 Jul 2023 21:30
URI: https://eprints.exchange.isb.edu/id/eprint/1367

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