Support union recovery in high-dimensional multivariate regression

DOI10.1214/09-AOS776zbMath1373.62372arXiv0808.0711MaRDI QIDQ2429923

Martin J. Wainwright, Michael I. Jordan, Guillaume Obozinski

Publication date: 5 April 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.0711

zbMATH Keywords

variable selection; sparsity; group Lasso; multivariate regression; Lasso; second-order cone program; block-norm; high-dimensional scaling; simultaneous Lasso

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62F07: Statistical ranking and selection procedures

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Uses Software

• PDCO

Cites Work

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