A note on sharp oracle bounds for Slope and Lasso

Published 23 Jul 2021 in math.ST and stat.TH | (2107.10974v1)

Abstract: In this paper, we study the sharp oracle bounds for Slope and Lasso and generalize the results in Bellec et al. (2018) to allow the case that the parameter vector is not exactly sparse and obtain the optimal bounds for $\ell_q$ estimation errors with $1\leq q\leq \infty$ by using some extended Restricted Eigenvalue type conditions.

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Authors (1)

Zhiyong Zhou

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