We study the non-negative garrotte estimator from three different aspects: consistency, computation and flexibility. We argue that the non-negative garrotte is a general procedure that can be used in combination with estimators other than the original least squares estimator as in its original...

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...