High-dimensional generalized linear models and the lasso
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Abstract: We consider high-dimensional generalized linear models with Lipschitz loss functions, and prove a nonasymptotic oracle inequality for the empirical risk minimizer with Lasso penalty. The penalty is based on the coefficients in the linear predictor, after normalization with the empirical norm. The examples include logistic regression, density estimation and classification with hinge loss. Least squares regression is also discussed.
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- Convergence and sparsity of Lasso and group Lasso in high-dimensional generalized linear models
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- Non-asymptotic oracle inequalities for the Lasso and group Lasso in high dimensional logistic model
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