Consistent group selection in high-dimensional linear regression
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Publication:627307
DOI10.3150/10-BEJ252zbMATH Open1207.62146arXiv1011.6161OpenAlexW3100282982WikidataQ38966631 ScholiaQ38966631MaRDI QIDQ627307FDOQ627307
Authors: Fengrong Wei, Jian Huang 
Publication date: 28 February 2011
Published in: Bernoulli (Search for Journal in Brave)
Abstract: In regression problems where covariates can be naturally grouped, the group Lasso is an attractive method for variable selection since it respects the grouping structure in the data. We study the selection and estimation properties of the group Lasso in high-dimensional settings when the number of groups exceeds the sample size. We provide sufficient conditions under which the group Lasso selects a model whose dimension is comparable with the underlying model with high probability and is estimation consistent. However, the group Lasso is, in general, not selection consistent and also tends to select groups that are not important in the model. To improve the selection results, we propose an adaptive group Lasso method which is a generalization of the adaptive Lasso and requires an initial estimator. We show that the adaptive group Lasso is consistent in group selection under certain conditions if the group Lasso is used as the initial estimator.
Full work available at URL: https://arxiv.org/abs/1011.6161
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)
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