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首页> 外文期刊>Annals of the Institute of Statistical Mathematics >A doubly sparse approach for group variable selection
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A doubly sparse approach for group variable selection

机译：组变量选择的双重稀疏方法

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We propose a new penalty called the doubly sparse (DS) penalty for variable selection in high-dimensional linear regression models when the covariates are naturally grouped. An advantage of the DS penalty over other penalties is that it provides a clear way of controlling sparsity between and within groups, separately. We prove that there exists a unique global minimizer of the DS penalized sum of squares of residuals and show how the DS penalty selects groups and variables within selected groups, even when the number of groups exceeds the sample size. An efficient optimization algorithm is introduced also. Results from simulation studies and real data analysis show that the DS penalty outperforms other existing penalties with finite samples.
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