### Lasso-type recovery of sparse representations for high-dimensional dataLasso-type recovery of sparse representations for high-dimensional data

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 Author Meinshausen, Nicolai ♦ Yu, Bin Source arXiv.org Content type Text File Format PDF Date of Submission 2008-06-01 Language English
 Subject Domain (in DDC) Natural sciences & mathematics ♦ Mathematics ♦ Probabilities & applied mathematics Subject Keyword Mathematics - Statistics Theory ♦ Statistics - Methodology ♦ 62J07 (Primary) 62F07 (Secondary) ♦ math ♦ stat Abstract The Lasso is an attractive technique for regularization and variable selection for high-dimensional data, where the number of predictor variables $p_n$ is potentially much larger than the number of samples $n$. However, it was recently discovered that the sparsity pattern of the Lasso estimator can only be asymptotically identical to the true sparsity pattern if the design matrix satisfies the so-called irrepresentable condition. The latter condition can easily be violated in the presence of highly correlated variables. Here we examine the behavior of the Lasso estimators if the irrepresentable condition is relaxed. Even though the Lasso cannot recover the correct sparsity pattern, we show that the estimator is still consistent in the $\ell_2$-norm sense for fixed designs under conditions on (a) the number $s_n$ of nonzero components of the vector $\beta_n$ and (b) the minimal singular values of design matrices that are induced by selecting small subsets of variables. Furthermore, a rate of convergence result is obtained on the $\ell_2$ error with an appropriate choice of the smoothing parameter. The rate is shown to be optimal under the condition of bounded maximal and minimal sparse eigenvalues. Our results imply that, with high probability, all important variables are selected. The set of selected variables is a meaningful reduction on the original set of variables. Finally, our results are illustrated with the detection of closely adjacent frequencies, a problem encountered in astrophysics. Description Reference: Annals of Statistics 2009, Vol. 37, No. 1, 246-270 Educational Use Research Learning Resource Type Article