Group descent algorithms for nonconvex penalized linear and logistic regression models with grouped predictors
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Publication:5962732
DOI10.1007/S11222-013-9424-2zbMATH Open1331.62359arXiv1209.2160OpenAlexW3124158594WikidataQ41270112 ScholiaQ41270112MaRDI QIDQ5962732FDOQ5962732
Authors: Patrick Breheny, Jian Huang 
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: Penalized regression is an attractive framework for variable selection problems. Often, variables possess a grouping structure, and the relevant selection problem is that of selecting groups, not individual variables. The group lasso has been proposed as a way of extending the ideas of the lasso to the problem of group selection. Nonconvex penalties such as SCAD and MCP have been proposed and shown to have several advantages over the lasso; these penalties may also be extended to the group selection problem, giving rise to group SCAD and group MCP methods. Here, we describe algorithms for fitting these models stably and efficiently. In addition, we present simulation results and real data examples comparing and contrasting the statistical properties of these methods.
Full work available at URL: https://arxiv.org/abs/1209.2160
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Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)
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