Wang, Hansheng; Leng, Chenlei - In: Computational Statistics & Data Analysis 52 (2008) 12, pp. 5277-5286
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...