Consistent tuning parameter selection in high-dimensional group-penalized regression
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DOI: 10.1007/s11425-017-9189-9
Abstract: Various forms of penalized estimators with good statistical and computational properties have been proposed for variable selection respecting the grouping structure in the variables. The attractive properties of these shrinkage and selection estimators, however, depend… read more here.
Keywords: parameter selection; consistent tuning; tuning parameter; selection ... See more keywords