Estimation for High-Dimensional Linear Mixed-Effects Models Using $\ell_1$-Penalization

Details Estimation for High-Dimensional Linear Mixed-Effects Models Using $\ell_1$-Penalization Estimation for High-Dimensional Linear Mixed-Effects Models Using $\ell_1$-Penalization

2010-02-19

arxiv.org/abs/1002.3784v2

Scandinavian Journal of Statistics 2011, 38: 197-214

Statistics

Methodology

Scientific paper

10.1111/j.1467-9469.2011.00740.x

We propose an $\ell_1$-penalized estimation procedure for high-dimensional linear mixed-effects models. The models are useful whenever there is a grouping structure among high-dimensional observations, i.e. 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.

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