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The deterministic lasso

van de Geer, S (Zurich)
Monday 07 January 2008, 11:30-12:30

Seminar Room 1, Newton Institute


We study high-dimensional generalized linear models. and risk minimization using the Lasso. The risk is taken under a random probability measure P' and the target is an overall minimizer of the risk under some other nonrandom probability measure P. We restrict ourselves to a set S where P' and P are close to each other, and present an oracle inequality under a so-called compatibility condition between the L_2 norm and l_1 norm.




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