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 inequalities; generalized linear Gaussian model; model selection by penalization

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62J12: Generalized linear models (logistic models)

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

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