期刊
STATISTICAL SCIENCE
卷 27, 期 4, 页码 481-499出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/12-STS392
关键词
Bi-level selection; group LASSO; concave group selection; penalized regression; sparsity; oracle property
资金
- NIH [R01CA120988, R01CA142774]
- NSF [DMS-08-05670]
Grouping structures arise naturally in many statistical modeling problems. Several methods have been proposed for variable selection that respect grouping structure in variables. Examples include the group LASSO and several concave group selection methods. In this article, we give a selective review of group selection concerning methodological developments, theoretical properties and computational algorithms We pay particular attention to group selection methods involving concave penalties. We address both group selection and bi-level selection methods. We describe several applications of these methods in nonparametric additive models, semiparametric regression, seemingly unrelated regressions, genomic data analysis and genome wide association studies. We also highlight some issues that require further study.
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