Sparse Group Lasso: Optimal Sample Complexity, Convergence Rate, and Statistical Inference

21 Sep 2019T. Tony CaiAnru ZhangYuchen Zhou

In this paper, we study sparse group Lasso for high-dimensional double sparse linear regression, where the parameter of interest is simultaneously element-wise and group-wise sparse. This problem is an important instance of the simultaneously structured model -- an actively studied topic in statistics and machine learning... (read more)

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