In linear regression problems with related predictors, it is desirable to do
variable selection and estimation by maintaining the hierarchical or structural
relationships among predictors. In this paper we propose non-negative garrote
methods that can naturally incorporate such relationships defined through
effect heredity principles or marginality principles. We show that the methods
are very easy to compute and enjoy nice theoretical properties. We also show
that the methods can be easily extended to deal with more general regression
problems such as generalized linear models. Simulations and real examples are
used to illustrate the merits of the proposed methods.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS254 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org