Support recovery and sup-norm convergence rates for sparse pivotal estimation

15 Jan 2020Mathurin MassiasQuentin BertrandAlexandre GramfortJoseph Salmon

In high dimensional sparse regression, pivotal estimators are estimators for which the optimal regularization parameter is independent of the noise level. The canonical pivotal estimator is the square-root Lasso, formulated along with its derivatives as a ``non-smooth + non-smooth'' optimization problem... (read more)

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