Group Variable Selection with Oracle Property by Weight-Fused Adaptive Elastic Net Model for Strongly Correlated Data

Abstract

This paper is the generalization of weight-fused elastic net (Fu and Xu, 2012), which performs group variable selection by combining weight-fused LASSO(wfLasso) and elastic net (Zou and Hastie, 2005) penalties. In this study, the elastic net penalty is replaced by adaptive elastic net penalty (AdaEnet) (Zou and Zhang, 2009), and a new group variable selection algorithm with oracle property (Fan and Li, 2001; Zou, 2006) is obtained.