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An algorithm for the multivariate group lasso with covariance estimation

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  • Ines Wilms
  • Christophe Croux

Abstract

We study a group lasso estimator for the multivariate linear regression model that accounts for correlated error terms. A block coordinate descent algorithm is used to compute this estimator. We perform a simulation study with categorical data and multivariate time series data, typical settings with a natural grouping among the predictor variables. Our simulation studies show the good performance of the proposed group lasso estimator compared to alternative estimators. We illustrate the method on a time series data set of gene expressions.

Suggested Citation

  • Ines Wilms & Christophe Croux, 2015. "An algorithm for the multivariate group lasso with covariance estimation," Working Papers of Department of Decision Sciences and Information Management, Leuven 516983, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
    • Handle: RePEc:ete:kbiper:516983
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    Cited by:

    1. Yang, Yuehan & Xia, Siwei & Yang, Hu, 2023. "Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
    2. Bai, Ray & Ghosh, Malay, 2018. "High-dimensional multivariate posterior consistency under global–local shrinkage priors," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 157-170.
    3. Zhang, Ruoyang & Ghosh, Malay, 2022. "Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors," Journal of Multivariate Analysis, Elsevier, vol. 187(C).

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