The group lasso for logistic regression

Summary.  The group lasso is an extension of the lasso to do variable selection on (predefined) groups of variables in linear regression models. The estimates have the attractive property of being invariant under groupwise orthogonal reparameterizations. We extend the group lasso to logistic regression models and present an efficient algorithm, that is especially suitable for high dimensional problems, which can also be applied to generalized linear models to solve the corresponding convex optimization problem. The group lasso estimator for logistic regression is shown to be statistically consistent even if the number of predictors is much larger than sample size but with sparse true underlying structure. We further use a two‐stage procedure which aims for sparser models than the group lasso, leading to improved prediction performance for some cases. Moreover, owing to the two‐stage nature, the estimates can be constructed to be hierarchical. The methods are used on simulated and real data sets about splice site detection in DNA sequences.