10.1184/R1/6586784.v1
Yuval Nardi
Yuval
Nardi
Alessandro Rinaldo
Alessandro
Rinaldo
On the Asymptotic Properties of The Group Lasso Estimator for Linear Models
Carnegie Mellon University
2012
Least Squares
Sparsity
Group-Lasso
Model Selection
Oracle Inequalities
Persistence.
2012-12-01 00:00:00
Journal contribution
https://kilthub.cmu.edu/articles/journal_contribution/On_the_Asymptotic_Properties_of_The_Group_Lasso_Estimator_for_Linear_Models/6586784
<p>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.</p>