Pivotal Estimation in High-Dimensional Regression via Linear Programming
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Publication:5264101
Abstract: We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The method is based on linear programming only, so that its numerical implementation is faster than for previously known techniques using conic programs, and it allows one to deal with higher dimensional models. We provide upper bounds for estimation and prediction errors of the proposed estimator showing that it achieves the same rate as in the more restrictive situation of fixed design and i.i.d. Gaussian errors with known variance. Following Gautier and Tsybakov (2011), we obtain the results under weaker sensitivity assumptions than the restricted eigenvalue or assimilated conditions.
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- New approach to Bayesian high-dimensional linear regression
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- High-dimensional linear models with many endogenous variables
- Estimation in high-dimensional linear models with deterministic design matrices
- Significance testing in non-sparse high-dimensional linear models
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