Efficient recovery of a low-dimensional structure from high-dimensional data has been pursued in various settings including wavelet denoising, generalized linear models and low-rank matrix estimation. By thresholding some parameters to zero, estimators such as lasso, elastic net and subset selection perform variable selection. One crucial step challenges all these estimators: the amount of thresholding governed by a threshold parameter $\lambda $. If too large, important features are missing; if too small, incorrect features are included. Within a unified framework, we propose a selection of $\lambda $ at the detection edge. To that aim, we introduce the concept of a zero-thresholding function and a null-thresholding statistic, that we explicitly derive for a large class of estimators. The new approach has the great advantage of transforming the selection of $\lambda $ from an unknown scale to a probabilistic scale. Numerical results show the effectiveness of our approach in terms of model selection and prediction.
"Quantile universal threshold." Electron. J. Statist. 11 (2) 4701 - 4722, 2017. https://doi.org/10.1214/17-EJS1366