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CSDA
2008

A note on adaptive group lasso

10 years 12 months ago
A note on adaptive group lasso
Group lasso is a natural extension of lasso and selects variables in a grouped manner. However, group lasso suffers from estimation inefficiency and selection inconsistency. To remedy these problems, we propose the adaptive group lasso method. We show theoretically that the new method is able to identify the true model consistently, and the resulting estimator can be as efficient as oracle. Numerical studies confirmed our theoretical findings. KEY WORDS: Adaptive Group Lasso; Adaptive Lasso; Group Lasso; Lasso
Hansheng Wang, Chenlei Leng
Added 10 Dec 2010
Updated 10 Dec 2010
Type Journal
Year 2008
Where CSDA
Authors Hansheng Wang, Chenlei Leng
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