Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators
Open Access
- 1 January 2008
- journal article
- Published by Institute of Mathematical Statistics in Electronic Journal of Statistics
- Vol. 2 (none) , 90-102
- https://doi.org/10.1214/08-ejs177
Abstract
We derive the l∞ convergence rate simultaneously for Lasso and Dantzig estimators in a high-dimensional linear regression model under a mutual coherence assumption on the Gram matrix of the design and two different assumptions on the noise: Gaussian noise and general noise with finite variance. Then we prove that simultaneously the thresholded Lasso and Dantzig estimators with a proper choice of the threshold enjoy a sign concentration property provided that the non-zero components of the target vector are not too small.Keywords
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