Related papers: A note on sharp oracle bounds for Slope and Lasso

We show that two polynomial time methods, a Lasso estimator with adaptively chosen tuning parameter and a Slope estimator, adaptively achieve the exact minimax prediction and $\ell_2$ estimation rate $(s/n)\log (p/s)$ in high-dimensional…

We study various constraints and conditions on the true coefficient vector and on the design matrix to establish non-asymptotic oracle inequalities for the prediction error, estimation accuracy and variable selection for the Lasso estimator…

This paper studies oracle properties of $\ell_1$-penalized least squares in nonparametric regression setting with random design. We show that the penalized least squares estimator satisfies sparsity oracle inequalities, i.e., bounds in…

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the $\ell_\infty$ estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a…

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…

We consider the problem of estimating a sparse linear regression vector $\beta^*$ under a gaussian noise model, for the purpose of both prediction and model selection. We assume that prior knowledge is available on the sparsity pattern,…

We study the problem of estimating the one-point specification probabilities in non-necessary finite discrete random fields from partially observed independent samples. Our procedures are based on model selection by minimization of a…

We give oracle inequalities on procedures which combines quantization and variable selection via a weighted Lasso $k$-means type algorithm. The results are derived for a general family of weights, which can be tuned to size the influence of…

The Lasso is a computationally efficient regression regularization procedure that can produce sparse estimators when the number of predictors (p) is large. Oracle inequalities provide probability loss bounds for the Lasso estimator at a…

We derive oracle inequalities for the problems of isotonic and convex regression using the combination of $Q$-aggregation procedure and sparsity pattern aggregation. This improves upon the previous results including the oracle inequalities…

This paper considers the penalized least squares estimator with arbitrary convex penalty. When the observation noise is Gaussian, we show that the prediction error is a subgaussian random variable concentrated around its median. We apply…

Many statistical estimation procedures lead to nonconvex optimization problems. Algorithms to solve these are often guaranteed to output a stationary point of the optimization problem. Oracle inequalities are an important theoretical…

We study a set of regularization methods for high-dimensional linear regression models. These penalized estimators have the square root of the residual sum of squared errors as loss function, and any weakly decomposable norm as penalty…

In this paper we present new theoretical results for the Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model under sparsity constraints. Our focus is on oracle inequalities for both estimators and error…

Oracle inequalities and variable selection properties for the Lasso in linear models have been established under a variety of different assumptions on the design matrix. We show in this paper how the different conditions and concepts relate…

Extending the results of Bellec, Lecu\'e and Tsybakov to the setting of sparse high-dimensional linear regression with unknown variance, we show that two estimators, the Square-Root Lasso and the Square-Root Slope can achieve the optimal…

The abundance of high-dimensional data in the modern sciences has generated tremendous interest in penalized estimators such as the lasso, scaled lasso, square-root lasso, elastic net, and many others. In this paper, we establish a general…

Following recent success on the analysis of the Slope estimator, we provide a sharp oracle inequality in term of prediction error for Graph-Slope, a generalization of Slope to signals observed over a graph. In addition to improving upon…

Penalized least squares estimation is a popular technique in high-dimensional statistics. It includes such methods as the LASSO, the group LASSO, and the nuclear norm penalized least squares. The existing theory of these methods is not…

This paper studies the statistical properties of the group Lasso estimator for high dimensional sparse quantile regression models where the number of explanatory variables (or the number of groups of explanatory variables) is possibly much…