Pivotal estimation via square-root Lasso in nonparametric regression
We propose 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. In addition, our analysis allows for badly behaved desig...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute of Mathematical Statistics
2015
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| Online Access: | http://hdl.handle.net/1721.1/93187 https://orcid.org/0000-0003-3582-8898 https://orcid.org/0000-0002-3250-6714 |