期刊
ANNALS OF STATISTICS
卷 38, 期 4, 页码 1978-2004出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/09-AOS778
关键词
L-1 regularization; Lasso; group Lasso; regression; sparsity; group sparsity; variable selection; parameter estimation
资金
- NSF [DMS-07-06805, NSA-081024, AFOSR-10097389]
This paper develops a theory for group Lasso using a concept called strong group sparsity. Our result shows that group Lasso is superior to standard Lasso for strongly group-sparse signals. This provides a convincing theoretical justification for using group sparse regularization when the underlying group structure is consistent with the data. Moreover, the theory predicts some limitations of the group Lasso formulation that are confirmed by simulation studies.
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