The Lasso as an \(\ell _{1}\)-ball model selection procedure

DOI10.1214/11-EJS623zbMath1274.62468MaRDI QIDQ1952205

Caroline Meynet, Pascal Massart

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1311600466

zbMATH Keywords

Lasso\(\ell_1\)-balls\(\ell_1\)-oracle inequalitiesgeneralized linear Gaussian modelmodel selection by penalization

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

Related Items (13)

Oracle inequalities for the Lasso in the high-dimensional Aalen multiplicative intensity model ⋮ Comment on: \(\ell _{1}\)-penalization for mixture regression models ⋮ Non-asymptotic oracle inequalities for the Lasso and Group Lasso in high dimensional logistic model ⋮ Finite mixture regression: a sparse variable selection by model selection for clustering ⋮ The Lasso as an \(\ell _{1}\)-ball model selection procedure ⋮ Regularization for Cox's proportional hazards model with NP-dimensionality ⋮ \(L_1\)-penalization in functional linear regression with subgaussian design ⋮ Oracle inequalities for high-dimensional prediction ⋮ Cox process functional learning ⋮ Prediction error bounds for linear regression with the TREX ⋮ Anℓ₁-oracle inequality for the Lasso in multivariate finite mixture of multivariate Gaussian regression models ⋮ Regularization and the small-ball method II: complexity dependent error rates ⋮ A non-asymptotic approach for model selection via penalization in high-dimensional mixture of experts models

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