This paper studies the asymptotic properties of a sparse linear regression estimator, referred to as broken adaptive ridge (BAR) estimator, resulting from an L 0-based iteratively reweighted L 2 penalization algorithm using the ridge estimator as its initial value. We show that the BAR estimator is consistent for variable selection and has an oracle property for parameter estimation. Moreover, we show that the BAR estimator possesses a grouping effect: highly correlated covariates are naturally grouped together, which is a desirable property not known for other oracle variable selection methods. Lastly, we combine BAR with a sparsity-restricted least squares estimator and give conditions under which the resulting two-stage sparse regression method is selection and estimation consistent in addition to having the grouping property in high- or ultrahigh-dimensional settings. Numerical studies are conducted to investigate and illustrate the operating characteristics of the BAR method in comparison with other methods.
Keywords: Feature selection; Grouping effect; L0-penalized regression; Oracle estimator; Sparsity recovery.