Support union recovery in high-dimensional multivariate regression
نویسندگان
چکیده
منابع مشابه
High-dimensional support union recovery in multivariate regression
We study the behavior of block `1/`2 regularization for multivariate regression, where a K-dimensional response vector is regressed upon a fixed set of p covariates. The problem of support union recovery is to recover the subset of covariates that are active in at least one of the regression problems. Studying this problem under high-dimensional scaling (where the problem parameters as well as ...
متن کاملSupport Union Recovery in High - Dimensional Multivariate Regression
In multivariate regression, a K-dimensional response vector is regressed upon a common set of p covariates, with a matrix B∗ ∈ Rp×K of regression coefficients. We study the behavior of the multivariate group Lasso, in which block regularization based on the `1/`2 norm is used for support union recovery, or recovery of the set of s rows for which B∗ is non-zero. Under high-dimensional scaling, w...
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We study the behavior of block `1/`2 regularization for multivariate regression, where a K-dimensional response vector is regressed upon a fixed set of p covariates. The problem of union support recovery is to recover the subset of covariates that are active in at least one of the regression problems. Studying this problem under high-dimensional scaling (where the problem parameters as well as ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2011
ISSN: 0090-5364
DOI: 10.1214/09-aos776