High-dimensional regression with unknown variance

Details High-dimensional regression with unknown variance High-dimensional regression with unknown variance

2011-09-26

arxiv.org/abs/1109.5587v2

Mathematics

Statistics Theory

38 pages

Scientific paper

We review recent results for high-dimensional sparse linear regression in the practical case of unknown variance. Different sparsity settings are covered, including coordinate-sparsity, group-sparsity and variation-sparsity. The emphasis is put on non-asymptotic analyses and feasible procedures. In addition, a small numerical study compares the practical performance of three schemes for tuning the Lasso estimator and some references are collected for some more general models, including multivariate regression and nonparametric regression.

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