Generic chaining and the _1-penalty
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Publication:1948162
Abstract: We address the choice of the tuning parameter in -penalized M-estimation. Our main concern is models which are highly nonlinear, such as the Gaussian mixture model. The number of parameters is moreover large, possibly larger than the number of observations . The generic chaining technique of Talagrand[2005] is tailored for this problem. It leads to the choice , as in the standard Lasso procedure (which concerns the linear model and least squares loss).
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