Grouping structures arise naturally in many statistical modeling problems.
Several methods have been proposed for variable selection that respect grouping
structure in variables. Examples include the group LASSO and several concave
group selection methods. In this article, we give a selective review of group
selection concerning methodological developments, theoretical properties, and
computational algorithms. We pay particular attention to group selection
methods involving concave penalties. We address both group selection and
bi-level selection methods.