An analysis of penalized interaction models

Preprint, Other literature type English OPEN
Zhao, Junlong; Leng, Chenlei;
(2016)
  • Publisher: Bernoulli Society for Mathematical Statistics and Probability
  • Journal: issn: 1350-7265
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.3150/15-BEJ715
  • Subject: restricted eigenvalue condition | interaction models | Mathematics - Statistics Theory | Lasso | hierarchical variable selection | high-dimensionality | convergence rate

An important consideration for variable selection in interaction models is to design an appropriate penalty that respects hierarchy of the importance of the variables. A common theme is to include an interaction term only after the corresponding main effects are present... View more
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