Adaptive Lasso for High Dimensional Regression and Gaussian Graphical Modeling

Details Adaptive Lasso for High Dimensional Regression and Gaussian Graphical Modeling Adaptive Lasso for High Dimensional Regression and Gaussian Graphical Modeling

2009-03-13

arxiv.org/abs/0903.2515v1

Mathematics

Statistics Theory

30 pages

Scientific paper

We show that the two-stage adaptive Lasso procedure (Zou, 2006) is consistent
for high-dimensional model selection in linear and Gaussian graphical models.
Our conditions for consistency cover more general situations than those
accomplished in previous work: we prove that restricted eigenvalue conditions
(Bickel et al., 2008) are also sufficient for sparse structure estimation.

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