Model selection and estimation in regression with grouped variables

Volume: 68, Issue: 1, Pages: 49 - 67
Published: Feb 1, 2006
Abstract
Summary. We consider the problem of selecting grouped variables (factors) for accurate prediction in regression. Such a problem arises naturally in many practical situations with the multifactor analysis-of-variance problem as the most important and well-known example. Instead of selecting factors by stepwise backward elimination, we focus on the accuracy of estimation and consider extensions of the lasso, the LARS algorithm and the non-negative...
Paper Details
Title
Model selection and estimation in regression with grouped variables
Published Date
Feb 1, 2006
Volume
68
Issue
1
Pages
49 - 67
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