Support union recovery in high-dimensional multivariate regression

DOI10.1214/09-AOS776zbMath1373.62372arXiv0808.0711MaRDI QIDQ2429923

Guillaume Obozinski, Michael I. Jordan, Martin J. Wainwright

Publication date: 5 April 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.0711

zbMATH Keywords

variable selectionsparsitygroup Lassomultivariate regressionLassosecond-order cone programblock-normhigh-dimensional scalingsimultaneous Lasso

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07)

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Uses Software

• PDCO

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