The Dantzig selector: statistical estimation when $p$ is much larger than $n$. (With discussions and rejoinder).

DOI10.1214/009053606000001523zbMath1139.62019arXivmath/0506081OpenAlexW3105340263WikidataQ57256046 ScholiaQ57256046MaRDI QIDQ2473068

Emmanuel J. Candès, Terence C. Tao

Publication date: 26 February 2008

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

Full work available at URL: https://arxiv.org/abs/math/0506081

zbMATH Keywords

model selection random matrices oracle inequalities restricted orthonormality sparse solutions to underdetermined systems statistical linear model geometry in high dimensions ideal estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05) Linear programming (90C05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Image processing (compression, reconstruction, etc.) in information and communication theory (94A08) General considerations in statistical decision theory (62C05)

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intrinsic sparsity ⋮ Robust estimation of GCD with sparse coefficients ⋮ Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency ⋮ Robust feature screening for high-dimensional survival data ⋮ Robust sparse regression by modeling noise as a mixture of gaussians ⋮ Projection correlation between scalar and vector variables and its use in feature screening with multi-response data ⋮ Graphical group ridge ⋮ Tensor Regression Using Low-Rank and Sparse Tucker Decompositions ⋮ Partitioned Approach for High-dimensional Confidence Intervals with Large Split Sizes ⋮ REMI: REGRESSION WITH MARGINAL INFORMATION AND ITS APPLICATION IN GENOME-WIDE ASSOCIATION STUDIES ⋮ Bayesian Estimation of Gaussian Conditional Random Fields ⋮ Sparse Composite Quantile Regression with Ultra-high Dimensional Heterogeneous Data ⋮ Semi-Standard Partial Covariance Variable Selection When Irrepresentable Conditions Fail ⋮ Nonparametric independence feature screening for ultrahigh-dimensional missing data ⋮ Model-free survival conditional feature screening ⋮ Improvement on LASSO-type estimator in nonparametric regression ⋮ L₀-Regularized Learning for High-Dimensional Additive Hazards Regression ⋮ High-Dimensional Learning Under Approximate Sparsity with Applications to Nonsmooth Estimation and Regularized Neural Networks ⋮ Estimating Truncated Functional Linear Models With a Nested Group Bridge Approach ⋮ Model Selection With Lasso-Zero: Adding Straw to the Haystack to Better Find Needles ⋮ A Functional Information Criterion for Region Selection in Functional Linear Models ⋮ A Compressed Sensing Framework for Monte Carlo Transport Simulations Using Random Disjoint Tallies ⋮ Optimization Methods for Synthetic Aperture Radar Imaging ⋮ Sparsity Constrained Estimation in Image Processing and Computer Vision ⋮ A model-free variable selection method for reducing the number of redundant variables ⋮ A General Theory of Singular Values with Applications to Signal Denoising ⋮ Adaptive elastic net-penalized quantile regression for variable selection ⋮ Sparsity identification in ultra-high dimensional quantile regression models with longitudinal data ⋮ Unnamed Item ⋮ Rates of convergence of the adaptive elastic net and the post-selection procedure in ultra-high dimensional sparse models ⋮ Non-marginal feature screening for additive hazard model with ultrahigh-dimensional covariates ⋮ Group feature screening via the F statistic ⋮ Inference for high dimensional linear models with error-in-variables ⋮ Exploiting Disagreement Between High-Dimensional Variable Selectors for Uncertainty Visualization ⋮ The Sparse MLE for Ultrahigh-Dimensional Feature Screening ⋮ A method for analyzing supersaturated designs inspired by control charts ⋮ Adaptive k-class estimation in high-dimensional linear models ⋮ Sure independence screening for analyzing supersaturated designs ⋮ Calibrated zero-norm regularized LS estimator for high-dimensional error-in-variables regression ⋮ Unnamed Item ⋮ A model-free feature screening approach based on kernel density estimation ⋮ Fast Bayesian variable screenings for binary response regressions with small sample size ⋮ Variable screening for ultrahigh dimensional censored quantile regression ⋮ Model selection in high-dimensional noisy data: a simulation study ⋮ Ultrahigh dimensional feature screening for additive model with multivariate response ⋮ A consistent variable screening procedure with family-wise error control ⋮ Solution uniqueness of convex piecewise affine functions based optimization with applications to constrained ℓ₁ minimization ⋮ Unnamed Item ⋮ Adaptive Lasso for generalized linear models with a diverging number of parameters ⋮ Proximal Mapping for Symmetric Penalty and Sparsity ⋮ Efficient regularization with wavelet sparsity constraints in photoacoustic tomography ⋮ GAP: A General Framework for Information Pooling in Two-Sample Sparse Inference ⋮ Model-Free Forward Screening Via Cumulative Divergence ⋮ Selection of a stroke risk model based on transcranial Doppler ultrasound velocity ⋮ Variable selection in the high-dimensional continuous generalized linear model with current status data ⋮ Sparse group variable selection based on quantile hierarchical Lasso ⋮ Online Decision Making with High-Dimensional Covariates ⋮ Confidence Intervals for Sparse Penalized Regression With Random Designs ⋮ Generalized Regression Estimators with High-Dimensional Covariates ⋮ Ranking-Based Variable Selection for high-dimensional data ⋮ Stability analysis of a class of sparse optimization problems ⋮ Bayesian analysis of definitive screening designs when the response is nonnormal ⋮ Quantile-adaptive variable screening in ultra-high dimensional varying coefficient models ⋮ Hard thresholding regression ⋮ A Bayesian approach with generalized ridge estimation for high-dimensional regression and testing ⋮ The Dantzig Selector for Diffusion Processes with Covariates ⋮ Consistent High-Dimensional Bayesian Variable Selection via Penalized Credible Regions ⋮ Trace pursuit variable selection for multi-population data ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A Tight Bound of Hard Thresholding ⋮ Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension ⋮ Bayesian Model Selection in High-Dimensional Settings ⋮ ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS ⋮ ELASTIC-NET REGULARIZATION FOR LOW-RANK MATRIX RECOVERY ⋮ Shrinkage Estimators for Prediction Out-of-Sample: Conditional Performance ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Subset Selection in Sparse Matrices ⋮ Two tales of variable selection for high dimensional regression: Screening and model building ⋮ Sparse linear discriminant analysis in structured covariates space ⋮ Bayesian variable selection for logistic regression ⋮ A Model-Averaging Approach for High-Dimensional Regression ⋮ Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models ⋮ Interaction Screening for Ultrahigh-Dimensional Data ⋮ Optimal Supersaturated Designs ⋮ l1-Penalised Ordinal Polytomous Regression Estimators with Application to Gene Expression Studies ⋮ Structured random measurements in signal processing ⋮ Unnamed Item ⋮ Binary sparse signal recovery with binary matching pursuit ^* ⋮ Nonsparse Learning with Latent Variables ⋮ Sure Independence Screening for Ultrahigh Dimensional Feature Space ⋮ Unnamed Item ⋮ Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models ⋮ Unnamed Item ⋮ The Dantzig selector: recovery of signal via ℓ ₁ − αℓ ₂ minimization ⋮ Sparsity-Based MIMO Radars ⋮ Robust Width: A Characterization of Uniformly Stable and Robust Compressed Sensing ⋮ Efficient Sparse Hessian-Based Semismooth Newton Algorithms for Dantzig Selector ⋮ Multi-Layer Sparse Coding: The Holistic Way ⋮ Feature Screening via Distance Correlation Learning ⋮ Graph-Based Regularization for Regression Problems with Alignment and Highly Correlated Designs ⋮ A selective overview of sparse sufficient dimension reduction ⋮ Variable screening in multivariate linear regression with high-dimensional covariates ⋮ Automatic Component Selection in Additive Modeling of French National Electricity Load Forecasting ⋮ Adaptive Geometric Multiscale Approximations for Intrinsically Low-dimensional Data ⋮ Compressed data separation via unconstrained l1-split analysis ⋮ Lag selection in stochastic additive models ⋮ Robust estimation and variable selection for semiparametric partially linear varying coefficient model based on modal regression ⋮ A survey on compressive sensing: classical results and recent advancements ⋮ Stable and robust $\ell_p$-constrained compressive sensing recovery via robust width property ⋮ Variable selection in partially time-varying coefficient models ⋮ Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso ⋮ Difference-of-Convex Learning: Directional Stationarity, Optimality, and Sparsity ⋮ Statistical Inference for High-Dimensional Models via Recursive Online-Score Estimation ⋮ High-dimensional latent panel quantile regression with an application to asset pricing ⋮ A new reproducing kernel‐based nonlinear dimension reduction method for survival data ⋮ Compositional knockoff filter for high‐dimensional regression analysis of microbiome data ⋮ Variable Selection in Regression-Based Estimation of Dynamic Treatment Regimes ⋮ Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables ⋮ Efficient multiple change point detection for high‐dimensional generalized linear models ⋮ The EAS approach for graphical selection consistency in vector autoregression models ⋮ Variance estimation in high-dimensional linear regression via adaptive elastic-net ⋮ A Critical Review of LASSO and Its Derivatives for Variable Selection Under Dependence Among Covariates ⋮ An Efficient Greedy Search Algorithm for High-Dimensional Linear Discriminant Analysis ⋮ Ensemble Subset Regression (ENSURE): Efficient High-dimensional Prediction ⋮ A weak‐signal‐assisted procedure for variable selection and statistical inference with an informative subsample ⋮ Sparse signal reconstruction via recurrent neural networks with hyperbolic tangent function ⋮ Dynamic Causal Effects Evaluation in A/B Testing with a Reinforcement Learning Framework ⋮ Sparse linear discriminant analysis for multiview structured data ⋮ Debiased lasso for generalized linear models with a diverging number of covariates ⋮ L ₀ -regularization for high-dimensional regression with corrupted data ⋮ Variable selection in saturated and supersaturated designs via lp-lq minimization ⋮ Sparse approximation over the cube ⋮ Sparse estimation in high-dimensional linear errors-in-variables regression via a covariate relaxation method ⋮ Facets of spherical random polytopes ⋮ Double bias correction for high-dimensional sparse additive hazards regression with covariate measurement errors ⋮ Adaptive Lasso and Dantzig selector for spatial point processes intensity estimation ⋮ Scalable and efficient inference via CPE ⋮ Inference for High-Dimensional Linear Mixed-Effects Models: A Quasi-Likelihood Approach ⋮ Testing Mediation Effects Using Logic of Boolean Matrices ⋮ Real-time change point detection in linear models using the ranking selection procedure ⋮ Block-diagonal precision matrix regularization for ultra-high dimensional data ⋮ Rate-optimal robust estimation of high-dimensional vector autoregressive models ⋮ Adaptive denoising of signals with local shift-invariant structure ⋮ High-dimensional robust inference for censored linear models ⋮ A neurodynamic algorithm for sparse signal reconstruction with finite-time convergence ⋮ Directional mean curvature for textured image demixing ⋮ Unnamed Item ⋮ Alternating Direction Methods for Latent Variable Gaussian Graphical Model Selection ⋮ A Tuning-free Robust and Efficient Approach to High-dimensional Regression ⋮ Orthogonal Nonnegative Tucker Decomposition ⋮ Scalable Algorithms for the Sparse Ridge Regression ⋮ Inexact primal–dual gradient projection methods for nonlinear optimization on convex set ⋮ Iteratively Reweighted Group Lasso Based on Log-Composite Regularization ⋮ Truncated $L^1$ Regularized Linear Regression: Theory and Algorithm ⋮ Nonconcave penalized estimation for partially linear models with longitudinal data ⋮ The Lasso for High Dimensional Regression with a Possible Change Point ⋮ Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models ⋮ The Dantzig Discriminant Analysis with High Dimensional Data ⋮ Variance-stabilization-based compressive inversion under Poisson or Poisson–Gaussian noise with analytical bounds ⋮ Compressed sensing ⋮ Statistical significance of the Netflix challenge ⋮ Ridge regression and asymptotic minimax estimation over spheres of growing dimension ⋮ Inference for biased models: a quasi-instrumental variable approach ⋮ High-dimensional regression with unknown variance ⋮ A unified framework for high-dimensional analysis of $M$-estimators with decomposable regularizers ⋮ Sparse estimation by exponential weighting ⋮ A general theory of concave regularization for high-dimensional sparse estimation problems ⋮ Performance bounds for parameter estimates of high-dimensional linear models with correlated errors ⋮ A spectral series approach to high-dimensional nonparametric regression ⋮ Likelihood adaptively modified penalties ⋮ Model selection for logistic regression via association rules analysis ⋮ Weak Stability of ℓ₁-Minimization Methods in Sparse Data Reconstruction ⋮ An iterative approach to distance correlation-based sure independence screening ⋮ An improved bound of cumulative coherence for signal recovery ⋮ Minimization of the difference of Nuclear and Frobenius norms for noisy low rank matrix recovery ⋮ On dealing with censored largest observations under weighted least squares ⋮ Discussion: One-step sparse estimates in nonconcave penalized likelihood models ⋮ Functional Graphical Models ⋮ Information-Based Optimal Subdata Selection for Big Data Linear Regression ⋮ Hessian Barrier Algorithms for Linearly Constrained Optimization Problems ⋮ Robust Wasserstein profile inference and applications to machine learning ⋮ Simulation-based Value-at-Risk for nonlinear portfolios ⋮ Rendition: Reclaiming What a Black Box Takes Away ⋮ Sparse recovery with general frame via general-dual-based analysis Dantzig selector ⋮ Unnamed Item ⋮ Unnamed Item ⋮ New Restricted Isometry Property Analysis for $\ell_1-\ell_2$ Minimization Methods ⋮ Multiscale Change Point Inference ⋮ Variance estimation based on blocked 3×2 cross-validation in high-dimensional linear regression ⋮ Model-free slice screening for ultrahigh-dimensional survival data ⋮ The Penalized Analytic Center Estimator ⋮ Lassoing the Determinants of Retirement ⋮ Estimation of Sparse Structural Parameters with Many Endogenous Variables ⋮ Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques ⋮ Model free feature screening for ultrahigh dimensional covariates with right censored outcomes ⋮ Sparse Solutions of a Class of Constrained Optimization Problems ⋮ Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction ⋮ A New Analysis Strategy for Designs With Complex Aliasing ⋮ Nonuniform recovery of fusion frame structured sparse signals ⋮ High-dimensional statistical inference via DATE ⋮ De-noising boosting methods for variable selection and estimation subject to error-prone variables ⋮ Binary generalized orthogonal matching pursuit ⋮ Bayesian Change Point Detection with Spike-and-Slab Priors ⋮ Post-selection Inference of High-dimensional Logistic Regression Under Case–Control Design ⋮ A post-screening diagnostic study for ultrahigh dimensional data ⋮ On a class of linear regression methods ⋮ Nearly Dimension-Independent Sparse Linear Bandit over Small Action Spaces via Best Subset Selection ⋮ Second order self-adaptive dynamical system for sparse signal reconstruction and applications to image recovery ⋮ Inference for sparse linear regression based on the leave-one-covariate-out solution path ⋮ Cross-Fitted Residual Regression for High-Dimensional Heteroscedasticity Pursuit ⋮ First-order methods for convex optimization ⋮ A comparative study on high-dimensional bayesian regression with binary predictors ⋮ A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity ⋮ Robust estimation in regression and classification methods for large dimensional data ⋮ Locally Sparse Function-on-Function Regression ⋮ Best subset selection with shrinkage: sparse additive hazards regression with the grouping effect ⋮ Low-rank matrix estimation via nonconvex optimization methods in multi-response errors-in-variables regression ⋮ Estimating causal effects with hidden confounding using instrumental variables and environments ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage ⋮ Stable Recovery of Sparsely Corrupted Signals Through Justice Pursuit De-Noising ⋮ Expectile trace regression via low-rank and group sparsity regularization ⋮ A joint estimation for the high-dimensional regression modeling on stratified data ⋮ Unnamed Item ⋮ Unnamed Item

Uses Software

Cites Work

The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).