Currently many research problems are addressed by analysing datasets characterized by a huge number of variables, with a relatively limited number of observations, especially when data are generated by experimentation. Most of the classical statistical procedures for regression analysis are often inadequate to deal with such data set as they have been developed assuming that the number of observations is larger than the number of the variables. In this work, we propose a new penalization procedure for variable selection in regression models based on Bootstrap group Penalties (BgP). This new family of penalization methods extends the bootstrap version of the LASSO approach by taking into account the grouping structure that may be present or introduced in the model. We develop a simulation study to compare the performance of this new approach with respect several existing group penalization methods in terms of both prediction accuracy and variable selection quality. The results achieved in this study show that the new procedure outperforms the other penalties procedures considered.
