Estimation for High-Dimensional Linear Mixed-Effects Models Using $\ell_1$-Penalization
Methodology
2011-05-12 v2 Computation
Abstract
We propose an -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.
Keywords
Cite
@article{arxiv.1002.3784,
title = {Estimation for High-Dimensional Linear Mixed-Effects Models Using $\ell_1$-Penalization},
author = {Jürg Schelldorfer and Peter Bühlmann and Sara van de Geer},
journal= {arXiv preprint arXiv:1002.3784},
year = {2011}
}