Method | Penalty | Estimator | |
---|---|---|---|
gbridge | \(p_{\lambda ,\gamma }(\varvec{\beta })= \lambda \sum \limits _{l=1}^L c_l\Vert \varvec{\beta }_{A_l}\Vert _1^{\gamma }\) | \(\widehat{\varvec{\beta }}_{\texttt {g}bridge}=\underset{\varvec{\beta }}{\textit{argmin}} \ \Big \{\text {RSS} + \lambda \sum \limits _{l=1}^L c_l\Vert \varvec{\beta }_{A_l}\Vert _1^{\gamma }\Big \}\) | (11) |
gLASSO | \(\texttt{p}_{\lambda }(\varvec{\beta })=\lambda \sum \limits _{l=1}^L \sqrt{p_l}\Vert \varvec{\beta }_{A_l}\Vert _2\) | \(\widehat{\varvec{\beta }}_{\texttt {g}lasso}=\underset{\varvec{\beta }}{\textit{argmin}} \ \Big \{\text {RSS} + \lambda \sum \limits _{l=1}^L \sqrt{p_l}\Vert \varvec{\beta }_{A_l}\Vert _2\Big \}\) | (12) |
sgLASSO | \(\texttt{p}_{\lambda ,\alpha }(\varvec{\beta })= \alpha \lambda ||\varvec{\beta }||_1 + (1-\alpha ) \lambda \sum \limits _{l=1}^L \sqrt{g_l}||\varvec{\beta }_l||_2\) | \(\widehat{\varvec{\beta }}_{\texttt {sg}lasso}\underset{\varvec{\beta }}{\textit{argmin}} \ \Big \{\text {RSS} + \alpha \lambda ||\varvec{\beta }||_1 + (1-\alpha ) \lambda \sum \limits _{l=1}^L \sqrt{g_l}||\varvec{\beta }_l||_2 \Big \}\) | (13) |