On grouping effect of elastic net

Ding-Xuan Zhou

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2108-2112

Abstract: Grouping effect of the elastic net asserts that coefficients corresponding to highly correlated predictors in a linear regression setting have small differences. A quantitative estimate for such small differences was given in Zou and Hastie (2005) when the coefficients have the same sign. We show that the same estimate holds true even when the coefficients have different signs. The estimate is also improved by means of an empirical approximation error when the model fits the data well.

Keywords: Elastic net; Grouping effect; Approximation error; Variable selection; Reproducing kernel Hilbert space (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715213001752
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:9:p:2108-2112

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2013.05.014

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().