Estimation for High‐Dimensional Linear Mixed‐Effects Models Using ℓ<sub>1</sub>‐Penalization
Estimation for High‐Dimensional Linear Mixed‐Effects Models Using ℓ<sub>1</sub>‐Penalization
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 …