High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood

DOI10.1016/j.jmva.2014.05.005zbMath1360.62269OpenAlexW2032207121MaRDI QIDQ2252887

Shota Katayama

Publication date: 24 July 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.05.005

zbMATH Keywords

consistencymean squared errorhigh-dimensional datapenalized normal likelihoodsign recovery

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A two sample test in high dimensional data
• The Adaptive Lasso and Its Oracle Properties
• A well-conditioned estimator for large-dimensional covariance matrices
• Sparse linear discriminant analysis by thresholding for high dimensional data
• Covariance regularization by thresholding
• High-dimensional classification using features annealed independence rules
• Lasso-type recovery of sparse representations for high-dimensional data
• Asymptotics for Lasso-type estimators.
• On the distribution of the largest eigenvalue in principal components analysis
• Nonconcave penalized likelihood with a diverging number of parameters.
• A two-sample test for high-dimensional data with applications to gene-set testing
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Pathwise coordinate optimization
• A test for the mean vector with fewer observations than the dimension
• Generalizations of the familywise error rate
• Shrinkage Tuning Parameter Selection with a Diverging number of Parameters
• Sparse covariance thresholding for high-dimensional variable selection
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• A Direct Estimation Approach to Sparse Linear Discriminant Analysis
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Generalized Thresholding of Large Covariance Matrices
• Nonconcave Penalized Likelihood With NP-Dimensionality
• Comparison of Discrimination Methods for High Dimensional Data
• A Significance Test for the Separation of Two Highly Multivariate Small Samples
• A High Dimensional Two Sample Significance Test
• Tuning Parameter Selection in High Dimensional Penalized Likelihood

This page was built for publication: High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood