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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2016
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| Online Access: | https://arxiv.org/abs/1609.06806 |
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| _version_ | 1866911819588698112 |
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| author | He, Kejun Huang, Jianhua Z. |
| author_facet | He, Kejun Huang, Jianhua Z. |
| contents | This paper studies the asymptotic properties of the penalized least squares estimator using an adaptive group Lasso penalty for the reduced rank regression. The group Lasso penalty is defined in the way that the regression coefficients corresponding to each predictor are treated as one group. It is shown that under certain regularity conditions, the estimator can achieve the minimax optimal rate of convergence. Moreover, the variable selection consistency can also be achieved, that is, the relevant predictors can be identified with probability approaching one. In the asymptotic theory, the number of response variables, the number of predictors, and the rank number are allowed to grow to infinity with the sample size. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1609_06806 |
| institution | arXiv |
| publishDate | 2016 |
| record_format | arxiv |
| spellingShingle | Asymptotic properties of adaptive group Lasso for sparse reduced rank regression He, Kejun Huang, Jianhua Z. Statistics Theory This paper studies the asymptotic properties of the penalized least squares estimator using an adaptive group Lasso penalty for the reduced rank regression. The group Lasso penalty is defined in the way that the regression coefficients corresponding to each predictor are treated as one group. It is shown that under certain regularity conditions, the estimator can achieve the minimax optimal rate of convergence. Moreover, the variable selection consistency can also be achieved, that is, the relevant predictors can be identified with probability approaching one. In the asymptotic theory, the number of response variables, the number of predictors, and the rank number are allowed to grow to infinity with the sample size. |
| title | Asymptotic properties of adaptive group Lasso for sparse reduced rank regression |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/1609.06806 |