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Activity Number: 401
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Computing
Abstract - #305272
Title: Group Descent Algorithms for Nonconvex Penalized Linear and Generalized Linear Models with Grouped Predictors
Author(s): Patrick Breheny*+ and Jian Huang
Companies: University of Kentucky and University of Iowa
Address: 725 Rose Street, Lexington, KY, 40536, United States
Keywords: Group lasso ; Group SCAD ; Group MCP ; Descent algorithms ; Penalized regression

Penalized regression is an attractive framework for variable selection problems. Often, variables possess a grouping structure, and the relevant selection problem is that of selecting groups, not individual variables. The group lasso has been proposed as a way of extending the ideas of the lasso to the problem of group selection. Nonconvex penalties such as SCAD and MCP have been proposed and shown to have several advantages over the lasso; these penalties may also be extended to the group selection problem, giving rise to group SCAD and group MCP methods. Here, we describe algorithms for fitting these models stably and efficiently. In addition, we present simulation results and real data examples comparing and contrasting the statistical properties of these methods.

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