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Open AccessJournal ArticleDOI

High-dimensional regression with unknown variance

TLDR
In this paper, a review of recent results for high-dimensional sparse linear regression in the practical case of unknown variance is presented, including coordinate sparsity, group sparsity and variation sparsity.
Abstract
We review recent results for high-dimensional sparse linear re- gression in the practical case of unknown variance. Different sparsity settings are covered, including coordinate-sparsity, group-sparsity and variation- sparsity. The emphasis is put on nonasymptotic analyses and feasible pro- cedures. In addition, a small numerical study compares the practical perfor- mance of three schemes for tuning the lasso estimator and some references are collected for some more general models, including multivariate regres- sion and nonparametric regression.

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Citations
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Journal ArticleDOI

Robust subspace clustering

TL;DR: This paper introduces an algorithm inspired by sparse subspace clustering (SSC) to cluster noisy data, and develops some novel theory demonstrating its correctness.
Journal ArticleDOI

Robust subspace clustering

TL;DR: In this paper, an algorithm inspired by sparse subspace clustering (SSC) was proposed to cluster noisy data, and a theory demonstrating its correctness was developed by using geometric functional analysis.
Journal ArticleDOI

Non-negative least squares for high-dimensional linear models: Consistency and sparse recovery without regularization

TL;DR: In this article, non-negativity constraints on the regression coefficients are used to improve the performance of non-negative least squares (NNLS) for high-dimensional linear models.
ReportDOI

Pivotal estimation via square-root Lasso in nonparametric regression

TL;DR: A self-tuning Lasso method that simultaneously resolves three important practical problems in high-dimensional regression analysis, namely it handles the unknown scale, heteroscedasticity and (drastic) non-Gaussianity of the noise, and generates sharp bounds even in extreme cases, such as the infinite variance case and the noiseless case.
Journal ArticleDOI

Pivotal estimation via square-root Lasso in nonparametric regression

TL;DR: A self-tuning Lasso method that simultaneously resolves three important practical problems in high-dimensional regression analysis, namely it handles the unknown scale, heteroscedasticity and (drastic) non-Gaussianity of the noise, and generates sharp bounds even in extreme cases, such as the infinite variance case and the noiseless case.
References
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Journal ArticleDOI

Regression Shrinkage and Selection via the Lasso

TL;DR: A new method for estimation in linear models called the lasso, which minimizes the residual sum of squares subject to the sum of the absolute value of the coefficients being less than a constant, is proposed.
Journal ArticleDOI

Estimating the Dimension of a Model

TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
Book

The Elements of Statistical Learning: Data Mining, Inference, and Prediction

TL;DR: In this paper, the authors describe the important ideas in these areas in a common conceptual framework, and the emphasis is on concepts rather than mathematics, with a liberal use of color graphics.
Book

Compressed sensing

TL;DR: It is possible to design n=O(Nlog(m)) nonadaptive measurements allowing reconstruction with accuracy comparable to that attainable with direct knowledge of the N most important coefficients, and a good approximation to those N important coefficients is extracted from the n measurements by solving a linear program-Basis Pursuit in signal processing.
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