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2008 On the asymptotic properties of the group lasso estimator for linear models
Yuval Nardi, Alessandro Rinaldo
Electron. J. Statist. 2: 605-633 (2008). DOI: 10.1214/08-EJS200

Abstract

We establish estimation and model selection consistency, prediction and estimation bounds and persistence for the group-lasso estimator and model selector proposed by Yuan and Lin (2006) for least squares problems when the covariates have a natural grouping structure. We consider the case of a fixed-dimensional parameter space with increasing sample size and the double asymptotic scenario where the model complexity changes with the sample size.

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Yuval Nardi. Alessandro Rinaldo. "On the asymptotic properties of the group lasso estimator for linear models." Electron. J. Statist. 2 605 - 633, 2008. https://doi.org/10.1214/08-EJS200

Information

Published: 2008
First available in Project Euclid: 30 July 2008

zbMATH: 1320.62167
MathSciNet: MR2426104
Digital Object Identifier: 10.1214/08-EJS200

Subjects:
Primary: 62J05
Secondary: 62F12

Keywords: group-Lasso , least squares , Model selection , Oracle inequalities , Persistence , Sparsity

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society

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