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December 2017 Consistent parameter estimation for LASSO and approximate message passing
Ali Mousavi, Arian Maleki, Richard G. Baraniuk
Ann. Statist. 45(6): 2427-2454 (December 2017). DOI: 10.1214/16-AOS1529

Abstract

This paper studies the optimal tuning of the regularization parameter in LASSO or the threshold parameters in approximate message passing (AMP). Considering a model in which the design matrix and noise are zero-mean i.i.d. Gaussian, we propose a data-driven approach for estimating the regularization parameter of LASSO and the threshold parameters in AMP. Our estimates are consistent, that is, they converge to their asymptotically optimal values in probability as $n$, the number of observations, and $p$, the ambient dimension of the sparse vector, grow to infinity, while $n/p$ converges to a fixed number $\delta$. As a byproduct of our analysis, we will shed light on the asymptotic properties of the solution paths of LASSO and AMP.

Version Information

This paper was inadvertently published twice, in two slightly different versions. We encourage readers to use the later version of this article, published in Ann. Statist. 46, no. 1 (2018), pp. 119-148 (DOI: 10.1214/17-AOS1544), as the version of record.

Citation

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Ali Mousavi. Arian Maleki. Richard G. Baraniuk. "Consistent parameter estimation for LASSO and approximate message passing." Ann. Statist. 45 (6) 2427 - 2454, December 2017. https://doi.org/10.1214/16-AOS1529

Information

Received: 1 November 2015; Revised: 1 November 2016; Published: December 2017
First available in Project Euclid: 15 December 2017

zbMATH: 06838138
MathSciNet: MR3737897
Digital Object Identifier: 10.1214/16-AOS1529

Subjects:
Primary: 62G05, 62J05

Rights: Copyright © 2017 Institute of Mathematical Statistics

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Vol.45 • No. 6 • December 2017
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