An error bound for Lasso and Group Lasso in high dimensions

21 Dec 2019  ·  Antoine Dedieu ·

We leverage recent advances in high-dimensional statistics to derive new L2 estimation upper bounds for Lasso and Group Lasso in high-dimensions. For Lasso, our bounds scale as $(k^*/n) \log(p/k^*)$---$n\times p$ is the size of the design matrix and $k^*$ the dimension of the ground truth $\boldsymbol{\beta}^*$---and match the optimal minimax rate. For Group Lasso, our bounds scale as $(s^*/n) \log\left( G / s^* \right) + m^* / n$---$G$ is the total number of groups and $m^*$ the number of coefficients in the $s^*$ groups which contain $\boldsymbol{\beta}^*$---and improve over existing results. We additionally show that when the signal is strongly group-sparse, Group Lasso is superior to Lasso.

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