High-dimensional regression coefficient estimation by nuclear norm plus l₁ norm penalization

DOI10.1002/STA4.548MaRDI QIDQ6548786FDO

Authors Matteo Farnè, Angela Montanari

Publication date 3 June 2024

Published in Stat (Search for Journal in Brave)

zbMATH Keywords

nuclear normsparsityprecision matrixhigh dimensionregression coefficient

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A large covariance matrix estimator under intermediate spikiness regimes
• Comment: Ridge Regression and Regularization of Large Matrices
• Comment: Ridge Regression—Still Inspiring After 50 Years
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Editorial: Celebrating 50 Years of Ridge Regression
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Rank-Sparsity Incoherence for Matrix Decomposition
• Ridge Regression: A Historical Context
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regularization: An Essential Concept in Data Science

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