A Note on Adaptive Group Lasso

Abstract:     
Group lasso is a natural extension of lasso and selects variables in a grouped manner. However, group lasso suffers from estimation inefficiency and selection inconsistency. To remedy these problems, we propose the adaptive group lasso method. We show theoretically that the new method is able to identify the true model consistently, and the resulting estimator can be as efficient as oracle. Numerical studies confirmed our theoretical findings.

Keywords: Adaptive Group Lasso, Adaptive Lasso, Group Lasso, Lasso

JEL Classification: C5, C51

Accepted Paper Series