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

• Type: Journal
• Year: 2008
• Where: CSDA
• Authors: Hansheng Wang, Chenlei Leng
• Keywords: Adaptive Group, CSDA 2008, Group Lasso, Lasso