An algorithm for the multivariate group Lasso with covariance estimation

DOI10.1080/02664763.2017.1289503OpenAlexW2204185640MaRDI QIDQ5139028FDOQ5139028

Authors: Ines Wilms, Christophe Croux 

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.05153

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zbMATH Keywords

multivariate regressionpenalized maximum likelihoodtime seriessparsitygroup Lassocategorical variables

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Robust groupwise least angle regression
• Pathwise coordinate optimization
• Title not available (Why is that?)
• Statistics for high-dimensional data. Methods, theory and applications.
• A study of error variance estimation in Lasso regression
• Model Selection and Estimation in Regression with Grouped Variables
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
• Sparse inverse covariance estimation with the graphical lasso
• Sparse permutation invariant covariance estimation
• Model selection and estimation in the Gaussian graphical model
• The Group Lasso for Logistic Regression
• A note on adaptive group Lasso
• Sparse reduced-rank regression with covariance estimation
• Sparse group variable selection based on quantile hierarchical Lasso
• Multivariate sparse group lasso for the multivariate multiple linear regression with an arbitrary group structure
• Construction of disease risk scoring systems using logistic group lasso: application to porcine reproductive and respiratory syndrome survey data

Cited In (6)

• Capturing between-tasks covariance and similarities using multivariate linear mixed models
• The EAS approach to variable selection for multivariate response data in high-dimensional settings
• Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
• Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study
• Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors
• High-dimensional multivariate posterior consistency under global-local shrinkage priors

Uses Software

• glasso
• selectiveInference

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