A note on adaptive group lasso

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 identify the true model consistently, and the resulting estimator can be as efficient as oracle. Numerical studies confirmed our theoretical findings. (c) 2008 Elsevier B.V. All rights reserved.