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Grouped and Hierarchical Model Selection through Composite Absolute Penalties (CAP)

Grouped and Hierarchical Model Selection through Composite Absolute Penalties (CAP). Bin Yu Department of Statistics, UC Berkeley Joint work with Peng Zhao and Guilherme Rocha. Outline. Motivation Background Penalization methods L 1 -penalty Composite Absolute Penalties (CAP)

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Grouped and Hierarchical Model Selection through Composite Absolute Penalties (CAP)