On the asymptotic properties of the group lasso estimator for linear models
Open Access
- 1 January 2008
- journal article
- research article
- Published by Institute of Mathematical Statistics in Electronic Journal of Statistics
- Vol. 2 (none) , 605-633
- https://doi.org/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 Yean and Lin (2006) for least squares problems when the covariates have a not 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.Keywords
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