PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Simultaneous analysis of Lasso and Dantzig selector.
Peter Bickel, Yaac'ov Ritov and Alexandre Tsybakov
Annals of Statistics 2007.

Abstract

We exhibit an approximate equivalence between the Lasso estimator and Dantzig selector. For both methods we derive parallel oracle inequalities for the prediction risk in the general nonparametric regression model, as well as bounds on the $\ell_p$ estimation loss for $1\le p\le 2$ in the linear model when the number of variables can be much larger than the sample size.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:3865
Deposited By:Alexandre Tsybakov
Deposited On:25 February 2008