High-dimensional mean estimation via _1 penalized normal likelihood

DOI10.1016/J.JMVA.2014.05.005zbMATH Open1360.62269OpenAlexW2032207121MaRDI QIDQ2252887FDOQ2252887

Authors: 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

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zbMATH Keywords

consistencyhigh-dimensional datamean squared errorpenalized normal likelihoodsign recovery

Mathematics Subject Classification ID

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

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Cited In (1)

• Estimating the mean and variance of a high-dimensional normal distribution using a mixture prior

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