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

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

Cites Work

• Unnamed Item
• Unnamed Item
• Exponential screening and optimal rates of sparse estimation
• Sparsity in penalized empirical risk minimization
• Nonlinear estimation over weak Besov spaces and minimax Bayes
• Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Lasso-type recovery of sparse representations for high-dimensional data
• On concentration of self-bounding functions
• Sphere packing numbers for subsets of the Boolean \(n\)-cube with bounded Vapnik-Chervonenkis dimension
• Wavelets, approximation, and statistical applications
• Minimax estimation via wavelet shrinkage
• Least angle regression. (With discussion)
• \(\ell _{1}\)-regularized linear regression: persistence and oracle inequalities
• On the conditions used to prove oracle results for the Lasso
• The Lasso as an \(\ell _{1}\)-ball model selection procedure
• Minimal penalties for Gaussian model selection
• Simultaneous analysis of Lasso and Dantzig selector
• High-dimensional generalized linear models and the lasso
• Sparsity oracle inequalities for the Lasso
• Approximation and learning by greedy algorithms
• Gaussian model selection
• Maximal spaces with given rate of convergence for thresholding algorithms