Johannes Lederer

  1. The Lasso, correlated design, and improved oracle inequalities.

    Authors: Sara van de Geer, Johannes Lederer
    Subjects: Methodology
    Abstract

    We study high-dimensional linear models and the $\ell_1$-penalized least
    squares estimator, also known as the Lasso estimator. In literature, oracle
    inequalities have been derived under restricted eigenvalue or compatibility
    conditions. In this paper, we complement this with entropy conditions which
    allow one to improve the dual norm bound, and demonstrate how this leads to new
    oracle inequalities. The new oracle inequalities show that a smaller choice for
    the tuning parameter and a trade-off between $\ell_1$-norms and small
    compatibility constants are possible.

RSS-материал