Smoothing $\ell_1$-penalized estimators for high-dimensional time-course data

Abstract

When a series of (related) linear models has to be estimated it is often appropriate to combine the different data-sets to construct more efficient estimators. We use $\ell_1$-penalized estimators like the Lasso or the Adaptive Lasso which can simultaneously do parameter estimation and model selection. We show that for a time-course of high-dimensional linear models the convergence rates of the Lasso and of the Adaptive Lasso can be improved by combining the different time-points in a suitable way. Moreover, the Adaptive Lasso still enjoys oracle properties and consistent variable selection. The finite sample properties of the proposed methods are illustrated on simulated data and on a real problem of motif finding in DNA sequences.Comment: Published in at http://dx.doi.org/10.1214/07-EJS103 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org