ℓ 1 -regularised linear regression: persistence and oracle inequalities

Bartlett, Peter; Mendelson, Shahar; Neeman, Joseph

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ℓ 1 -regularised linear regression: persistence and oracle inequalities

Date

2012

Authors

Bartlett, Peter

Mendelson, Shahar

Neeman, Joseph

Publisher

Springer

Abstract

We study the predictive performance of ℓ1-regularized linear regression in a model-free setting, including the case where the number of covariates is substantially larger than the sample size. We introduce a new analysis method that avoids the boundedne