file.pdf (356.89 kB)

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

Download (356.89 kB)
journal contribution
posted on 01.12.2012 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.

History

Publisher Statement

All Rights Reserved

Date

01/12/2012

Exports

Exports