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Estimation for High-Dimensional Linear Mixed-Effects Models Using ℓ1-Penalization
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Estimation for High-Dimensional Linear Mixed-Effects Models Using ℓ1-Penalization
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Journal Article
Estimation for High-Dimensional Linear Mixed-Effects Models Using ℓ1-Penalization
2011
Overview
We propose an ℓ 1 -penalized estimation procedure for high-dimensional linear mixedeffects models. The models are useful whenever there is a grouping structure among highdimensional observations, that is, for clustered data. We prove a consistency and an oracle optimality result and we develop an algorithm with provable numerical convergence. Furthermore, we demonstrate the performance of the method on simulated and a real high-dimensional data set.
Publisher
Blackwell Publishing Ltd,Blackwell Publishing,Blackwell,Danish Society for Theoretical Statistics
Subject
/ Calculus of variations and optimal control
/ Exact sciences and technology
/ Lasso
/ Linear inference, regression
/ Mathematical independent variables
/ Maximum likelihood estimators
/ Numerical analysis. Scientific computation
/ Numerical methods in mathematical programming, optimization and calculus of variations
/ Numerical methods in optimization and calculus of variations
/ Oracles
