Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using \ell _{1}-Constrained Quadratic Programming (Lasso)

DOI10.1109/TIT.2009.2016018zbMATH Open1367.62220MaRDI QIDQ4975847FDOQ4975847

Publication date: 8 August 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Quadratic programming (90C20) Ridge regression; shrinkage estimators (Lasso) (62J07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (only showing first 100 items - show all)

Adjusting for high-dimensional covariates in sparse precision matrix estimation by $\ell_1$-penalization
Model selection for high-dimensional quadratic regression via regularization
Estimating time-varying networks
The adaptive Lasso in high-dimensional sparse heteroscedastic models
Detection boundary in sparse regression
On the conditions used to prove oracle results for the Lasso
Least squares after model selection in high-dimensional sparse models
Sign-constrained least squares estimation for high-dimensional regression
Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
Non-negative least squares for high-dimensional linear models: consistency and sparse recovery without regularization
RIPless compressed sensing from anisotropic measurements
Sparse directed acyclic graphs incorporating the covariates
On semidefinite relaxations for the block model
Discussion: Latent variable graphical model selection via convex optimization
A significance test for the lasso
Bootstrap inference for network construction with an application to a breast cancer microarray study
High-dimensional covariance estimation by minimizing $\ell _{1}$-penalized log-determinant divergence
Sparse semiparametric discriminant analysis
Rejoinder: Latent variable graphical model selection via convex optimization
High-dimensional change-point estimation: combining filtering with convex optimization
The Lasso problem and uniqueness
The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
On constrained and regularized high-dimensional regression
Sparse classification: a scalable discrete optimization perspective
Discussion: ``A significance test for the lasso
Minimax-optimal nonparametric regression in high dimensions
High-dimensional regression in practice: an empirical study of finite-sample prediction, variable selection and ranking
Discussion: Latent variable graphical model selection via convex optimization
SLOPE is adaptive to unknown sparsity and asymptotically minimax
Estimation and variable selection with exponential weights
High-dimensional variable screening and bias in subsequent inference, with an empirical comparison
Prediction and estimation consistency of sparse multi-class penalized optimal scoring
Improved variable selection with forward-lasso adaptive shrinkage
On model selection consistency of regularized M-estimators
Minimax risks for sparse regressions: ultra-high dimensional phenomenons
Two are better than one: fundamental parameters of frame coherence
Nonnegative-Lasso and application in index tracking
A discussion on practical considerations with sparse regression methodologies
A new perspective on least squares under convex constraint
On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property
AIC for the Lasso in generalized linear models
A numerical exploration of compressed sampling recovery
A posterior probability approach for gene regulatory network inference in genetic perturbation data
Covariate Selection in High-Dimensional Generalized Linear Models With Measurement Error
Factor-Adjusted Regularized Model Selection
Nonnegative elastic net and application in index tracking
Rejoinder: ``A significance test for the lasso
Stability Selection
Self-concordant analysis for logistic regression
On asymptotically optimal confidence regions and tests for high-dimensional models
Best subset selection via a modern optimization lens
Bayesian hyper-Lassos with non-convex penalization
Statistical significance in high-dimensional linear models
Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
An algorithm for quadratic $\ell_1$-regularized optimization with a flexible active-set strategy
The log-linear group-lasso estimator and its asymptotic properties
Latent variable graphical model selection via convex optimization
A unified framework for high-dimensional analysis of $M$-estimators with decomposable regularizers
Discussion: ``A significance test for the lasso
Pivotal estimation via square-root lasso in nonparametric regression
$\ell_{1}$-penalization for mixture regression models
Autoregressive process modeling via the Lasso procedure
Worst possible sub-directions in high-dimensional models
Stability
Estimation of high-dimensional graphical models using regularized score matching
Performance bounds for parameter estimates of high-dimensional linear models with correlated errors
Structured sparsity through convex optimization
Support union recovery in high-dimensional multivariate regression
Estimation of (near) low-rank matrices with noise and high-dimensional scaling
A distribution-based Lasso for a general single-index model
High-dimensional Ising model selection using $\ell _{1}$-regularized logistic regression
Optimal computational and statistical rates of convergence for sparse nonconvex learning problems
On the use of the Lasso for instrumental variables estimation with some invalid instruments
Oracle inequalities and optimal inference under group sparsity
Semi-analytic resampling in Lasso
Sparsistency and agnostic inference in sparse PCA
A bootstrap Lasso+partial ridge method to construct confidence intervals for parameters in high-dimensional sparse linear models
Principled sure independence screening for Cox models with ultra-high-dimensional covariates
A general theory of concave regularization for high-dimensional sparse estimation problems
Conditional score matching for high-dimensional partial graphical models
Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
Optimal variable selection in multi-group sparse discriminant analysis
Recovery of partly sparse and dense signals
Sharp recovery bounds for convex demixing, with applications
Sparse high-dimensional regression: exact scalable algorithms and phase transitions
Discussion: ``A significance test for the lasso
Discussion: ``A significance test for the lasso
Discussion: ``A significance test for the lasso
Discussion: ``A significance test for the lasso
Learning high-dimensional Gaussian linear structural equation models with heterogeneous error variances
A reproducing kernel Hilbert space approach to high dimensional partially varying coefficient model
Penalized logspline density estimation using total variation penalty
Sparse regression: scalable algorithms and empirical performance
Sorted concave penalized regression
Bayesian augmented Lagrangian algorithm for system identification
Multi-stage convex relaxation for feature selection
A general family of trimmed estimators for robust high-dimensional data analysis
Adaptive log-density estimation
The generalized Lasso problem and uniqueness
Model selection consistency of Lasso for empirical data

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