The distribution of the Lasso: uniform control over sparse balls and adaptive parameter tuning
From MaRDI portal
Publication:2054498
DOI10.1214/20-AOS2038zbMath1480.62145arXiv1811.01212OpenAlexW3202433451MaRDI QIDQ2054498
Publication date: 3 December 2021
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.01212
Related Items (13)
Fundamental barriers to high-dimensional regression with convex penalties ⋮ Surprises in high-dimensional ridgeless least squares interpolation ⋮ Aggregated hold out for sparse linear regression with a robust loss function ⋮ Sharp global convergence guarantees for iterative nonconvex optimization with random data ⋮ Debiasing convex regularized estimators and interval estimation in linear models ⋮ Local convexity of the TAP free energy and AMP convergence for \(\mathbb{Z}_2\)-synchronization ⋮ Noisy linear inverse problems under convex constraints: exact risk asymptotics in high dimensions ⋮ Universality of regularized regression estimators in high dimensions ⋮ The Lasso with general Gaussian designs with applications to hypothesis testing ⋮ Optimal linear discriminators for the discrete choice model in growing dimensions ⋮ Precise statistical analysis of classification accuracies for adversarial training ⋮ A Unifying Tutorial on Approximate Message Passing ⋮ Asymptotic normality of robust \(M\)-estimators with convex penalty
Cites Work
- Unnamed Item
- Unnamed Item
- On asymptotically optimal confidence regions and tests for high-dimensional models
- High dimensional robust M-estimation: asymptotic variance via approximate message passing
- Degrees of freedom in lasso problems
- Statistics for high-dimensional data. Methods, theory and applications.
- On the impact of predictor geometry on the performance on high-dimensional ridge-regularized generalized robust regression estimators
- On cross-validated Lasso in high dimensions
- Some inequalities for Gaussian processes and applications
- Estimation of the mean of a multivariate normal distribution
- Minimax risk over \(l_ p\)-balls for \(l_ q\)-error
- On the conditions used to prove oracle results for the Lasso
- Simultaneous analysis of Lasso and Dantzig selector
- Accuracy assessment for high-dimensional linear regression
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- High-dimensional centrally symmetric polytopes with neighborliness proportional to dimension
- Convex Recovery of a Structured Signal from Independent Random Linear Measurements
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- Non-Negative Principal Component Analysis: Message Passing Algorithms and Sharp Asymptotics
- Hypothesis Testing in High-Dimensional Regression Under the Gaussian Random Design Model: Asymptotic Theory
- A statistical mechanics approach to de-biasing and uncertainty estimation in LASSO for random measurements
- Decoding by Linear Programming
- Compressive Phase Retrieval via Generalized Approximate Message Passing
- Precise Error Analysis of Regularized <inline-formula> <tex-math notation="LaTeX">$M$ </tex-math> </inline-formula>-Estimators in High Dimensions
- State evolution for approximate message passing with non-separable functions
- Mutual Information and Optimality of Approximate Message-Passing in Random Linear Estimation
- Living on the edge: phase transitions in convex programs with random data
- A modern maximum-likelihood theory for high-dimensional logistic regression
- Optimal errors and phase transitions in high-dimensional generalized linear models
- Optimization-Based AMP for Phase Retrieval: The Impact of Initialization and $\ell_{2}$ Regularization
- The LASSO Risk for Gaussian Matrices
- The Noise-Sensitivity Phase Transition in Compressed Sensing
- Minimax Rates of Estimation for High-Dimensional Linear Regression Over $\ell_q$-Balls
- The Dynamics of Message Passing on Dense Graphs, with Applications to Compressed Sensing
- Neighborliness of randomly projected simplices in high dimensions
- Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
- The Estimation of Prediction Error
- Consistent parameter estimation for Lasso and approximate message passing
- Optimal Transport
- A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
This page was built for publication: The distribution of the Lasso: uniform control over sparse balls and adaptive parameter tuning