A lava attack on the recovery of sums of dense and sparse signals

Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in which most parameters are zero and there are a small number of nonzero parameters that are large in magnitude, or a dense signal model, a model with no large parameters and very many small nonzero...

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Bibliographic Details
Main Authors: Liao, Yuan, Chernozhukov, Victor V, Hansen, Christian B.
Other Authors: Massachusetts Institute of Technology. Department of Economics
Format: Article
Published: Institute of Mathematical Statistics 2018
Online Access:http://hdl.handle.net/1721.1/113848
https://orcid.org/0000-0002-3250-6714