1. On estimation error bounds of the Elastic Net when p ≫ n.
- Author
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Liu, Hanzhong and Jia, Jinzhu
- Subjects
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ELASTICITY , *DIMENSIONAL analysis , *REGRESSION analysis , *SAMPLE size (Statistics) - Abstract
We study the estimation property of the Elastic Net estimator in high-dimensional linear regression models where the number of parameters p is comparable to or larger than the sample size n. In such a situation, one often assumes sparsity of the true regression coefficient vector β ∗ ∈ R p , i.e., assuming that β ∗ belongs to an ℓ q -ball with radius R q , B q (R q) , for some q ∈ [ 0 , 1 ]. In this paper, we provide ℓ 2 -estimation error bounds for the Elastic Net and naive Elastic Net estimators under a unified framework for high-dimensional analysis of M-estimators proposed by Negahban et al. [A unified framework for high-dimensional analysis of M-estimators with decomposable regularizers. Adv Neural Inf Process Syst. 2009;22:1348–1356]. We show that for both cases of exact sparsity and weak sparsity, under the same conditions on the design matrix, the Elastic Net estimator achieves a slightly better error bound than the Lasso estimator by suitably choosing the tuning parameters. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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