On the Asymptotic Properties of The Group Lasso Estimator for Linear Models

2012-12-01T00:00:00Z (GMT) by Yuval Nardi Alessandro Rinaldo

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.