1 code implementation • 12 May 2020 • Pascaline Descloux, Claire Boyer, Julie Josse, Aude Sportisse, Sylvain Sardy
The use of Robust Lasso-Zero is showcased for variable selection with missing values in the covariates.
1 code implementation • 14 May 2018 • Pascaline Descloux, Sylvain Sardy
The high-dimensional linear model $y = X \beta^0 + \epsilon$ is considered and the focus is put on the problem of recovering the support $S^0$ of the sparse vector $\beta^0.$ We introduce Lasso-Zero, a new $\ell_1$-based estimator whose novelty resides in an "overfit, then threshold" paradigm and the use of noise dictionaries concatenated to $X$ for overfitting the response.