Square-Root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming
We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors p is large, possibly much larger than n, but only s regressors are significant. The method is a modification of the lasso, called the square-root lasso. The method is p...
| Main Authors: | , , |
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| Format: | Working Paper |
| Language: | en_US |
| Published: |
Cambridge, MA: Department of Economics; Massachusetts Institute of Technology
2011
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| Online Access: | http://hdl.handle.net/1721.1/65146 |