Square-root lasso: pivotal recovery of sparse signals via conic programming

DOI10.1093/BIOMET/ASR043zbMATH Open1228.62083arXiv1009.5689OpenAlexW3121832289MaRDI QIDQ3107973FDOQ3107973

Authors: A. Belloni, Victor Chernozhukov, Lie Wang 

Publication date: 28 December 2011

Published in: Biometrika (Search for Journal in Brave)

Abstract: We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors $p$ is large, possibly much larger than $n$, but only $s$ regressors are significant. The method is a modification of the lasso, called the square-root lasso. The method is pivotal in that it neither relies on the knowledge of the standard deviation $sigma$ or nor does it need to pre-estimate $sigma$. Moreover, the method does not rely on normality or sub-Gaussianity of noise. It achieves near-oracle performance, attaining the convergence rate $sigma{(s/n)logp}^{1/2}$ in the prediction norm, and thus matching the performance of the lasso with known $sigma$. These performance results are valid for both Gaussian and non-Gaussian errors, under some mild moment restrictions. We formulate the square-root lasso as a solution to a convex conic programming problem, which allows us to implement the estimator using efficient algorithmic methods, such as interior-point and first-order methods.

Full work available at URL: https://arxiv.org/abs/1009.5689

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zbMATH Keywords

moderate deviation theoryhigh-dimensional sparse model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of mathematical programming (90C90)

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