The LASSO Risk for Gaussian Matrices

DOI10.1109/TIT.2011.2174612zbMath1365.62196arXiv1008.2581MaRDI QIDQ5271991

Publication date: 12 July 2017

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

Full work available at URL: https://arxiv.org/abs/1008.2581

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Sampling theory in information and communication theory (94A20)

Related Items

Fundamental barriers to high-dimensional regression with convex penalties, Approximate message passing algorithms for rotationally invariant matrices, SLOPE is adaptive to unknown sparsity and asymptotically minimax, The asymptotic distribution of the MLE in high-dimensional logistic models: arbitrary covariance, Approximate message passing with spectral initialization for generalized linear models*, Ising model selection using ℓ ₁-regularized linear regression: a statistical mechanics analysis*, Recovering Structured Signals in Noise: Least-Squares Meets Compressed Sensing, Sharp MSE bounds for proximal denoising, High dimensional robust M-estimation: asymptotic variance via approximate message passing, Nearly optimal minimax estimator for high-dimensional sparse linear regression, Accuracy assessment for high-dimensional linear regression, Fast and Reliable Parameter Estimation from Nonlinear Observations, Sharp global convergence guarantees for iterative nonconvex optimization with random data, Automatic bias correction for testing in high‐dimensional linear models, Fundamental limits of weak recovery with applications to phase retrieval, Detangling robustness in high dimensions: composite versus model-averaged estimation, Debiasing convex regularized estimators and interval estimation in linear models, A Friendly Tutorial on Mean-Field Spin Glass Techniques for Non-Physicists, A power analysis for Model-X knockoffs with \(\ell_p\)-regularized statistics, LASSO Reloaded: A Variational Analysis Perspective with Applications to Compressed Sensing, Noisy linear inverse problems under convex constraints: exact risk asymptotics in high dimensions, Universality of regularized regression estimators in high dimensions, The Lasso with general Gaussian designs with applications to hypothesis testing, A tradeoff between false discovery and true positive proportions for sparse high-dimensional logistic regression, Unnamed Item, Which bridge estimator is the best for variable selection?, Asymptotic risk and phase transition of \(l_1\)-penalized robust estimator, Compressive Computed Tomography Reconstruction through Denoising Approximate Message Passing, High-dimensional asymptotics of prediction: ridge regression and classification, On the impact of predictor geometry on the performance on high-dimensional ridge-regularized generalized robust regression estimators, Debiasing the Lasso: optimal sample size for Gaussian designs, Overcoming the limitations of phase transition by higher order analysis of regularization techniques, Robust subspace clustering, Consistent parameter estimation for Lasso and approximate message passing, The phase transition of matrix recovery from Gaussian measurements matches the minimax MSE of matrix denoising, The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square, Approximate message passing for nonconvex sparse regularization with stability and asymptotic analysis, The distribution of the Lasso: uniform control over sparse balls and adaptive parameter tuning, Critical behavior and universality classes for an algorithmic phase transition in sparse reconstruction, Unnamed Item, Semi-supervised multiple testing, Optimal combination of linear and spectral estimators for generalized linear models, Precise statistical analysis of classification accuracies for adversarial training, Unnamed Item, Large scale analysis of generalization error in learning using margin based classification methods, Universality in polytope phase transitions and message passing algorithms, Large dimensional analysis of general margin based classification methods, A Unifying Tutorial on Approximate Message Passing, On the power of conditional independence testing under model-X, LASSO risk and phase transition under dependence