Oracle inequalities and optimal inference under group sparsity
From MaRDI portal
Publication:651028
DOI10.1214/11-AOS896zbMath1306.62156arXiv1007.1771MaRDI QIDQ651028
Massimiliano Pontil, Karim Lounici, Sara van de Geer, Alexandre B. Tsybakov
Publication date: 8 December 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.1771
minimax risk; oracle inequalities; group lasso; group sparsity; statistical learning; penalized least squares; moment inequality
62J05: Linear regression; mixed models
62C20: Minimax procedures in statistical decision theory
62F07: Statistical ranking and selection procedures
Related Items
Unnamed Item, Group Regularized Estimation Under Structural Hierarchy, Monte Carlo Simulation for Lasso-Type Problems by Estimator Augmentation, On the finite-sample analysis of \(\Theta\)-estimators, On the finite-sample analysis of \(\Theta\)-estimators, Structured sparsity through convex optimization, A selective review of group selection in high-dimensional models, High-dimensional regression with unknown variance, A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers, Sparse estimation by exponential weighting, Randomized maximum-contrast selection: subagging for large-scale regression, The benefit of group sparsity in group inference with de-biased scaled group Lasso, Solution of linear ill-posed problems using overcomplete dictionaries, A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks, Grouping strategies and thresholding for high dimensional linear models, ``Grouping strategies and thresholding for high dimensional linear models: discussion, ``Grouping strategies and thresholding for high dimensional linear models: rejoinder, Sparse regression and support recovery with \(\mathbb{L}_2\)-boosting algorithms, Robust inference on average treatment effects with possibly more covariates than observations, Decomposable norm minimization with proximal-gradient homotopy algorithm, Estimation of high-dimensional low-rank matrices, Gelfand numbers related to structured sparsity and Besov space embeddings with small mixed smoothness, Joint variable and rank selection for parsimonious estimation of high-dimensional matrices, Tight conditions for consistency of variable selection in the context of high dimensionality, Accuracy guaranties for \(\ell_{1}\) recovery of block-sparse signals, Trace regression model with simultaneously low rank and row(column) sparse parameter, Structured variable selection via prior-induced hierarchical penalty functions, A group adaptive elastic-net approach for variable selection in high-dimensional linear regression, Regularizers for structured sparsity, Model selection in regression under structural constraints, Least squares after model selection in high-dimensional sparse models, Slope meets Lasso: improved oracle bounds and optimality, Pivotal estimation via square-root lasso in nonparametric regression, Structured estimation for the nonparametric Cox model, Optimal estimation and rank detection for sparse spiked covariance matrices, Sparse high-dimensional varying coefficient model: nonasymptotic minimax study, A group VISA algorithm for variable selection, Joint rank and variable selection for parsimonious estimation in a high-dimensional finite mixture regression model, Variable selection and structure identification for varying coefficient Cox models, Quantile regression with group Lasso for classification, Sparse PCA: optimal rates and adaptive estimation, Estimation and variable selection with exponential weights, Non-asymptotic oracle inequalities for the Lasso and Group Lasso in high dimensional logistic model, Multivariate sparse group lasso for the multivariate multiple linear regression with an arbitrary group structure
Uses Software
Cites Work
- Exponential screening and optimal rates of sparse estimation
- Oracle inequalities in empirical risk minimization and sparse recovery problems. École d'Été de Probabilités de Saint-Flour XXXVIII-2008.
- Some theoretical results on the grouped variables Lasso
- Convex analysis and nonlinear optimization. Theory and examples.
- The sparsity and bias of the LASSO selection in high-dimensional linear regression
- The benefit of group sparsity
- Variable selection in nonparametric additive models
- Moment inequalities for sums of dependent random variables under projective conditions
- High-dimensional additive modeling
- The composite absolute penalties family for grouped and hierarchical variable selection
- Oracle inequalities for inverse problems
- Weak convergence and empirical processes. With applications to statistics
- On the asymptotic properties of the group lasso estimator for linear models
- Simultaneous analysis of Lasso and Dantzig selector
- High-dimensional generalized linear models and the lasso
- Sparsity oracle inequalities for the Lasso
- Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators
- Support union recovery in high-dimensional multivariate regression
- Aggregation for Gaussian regression
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Nemirovski's Inequalities Revisited
- Stable recovery of sparse overcomplete representations in the presence of noise
- The Group Lasso for Logistic Regression
- Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
- Model Selection and Estimation in Regression with Grouped Variables
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- Introduction to nonparametric estimation
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item