Tag: lasso

This came up in Chapter 7 of Wainwright’s “High-dimensional Statistics”. In that Chapter we’re interested in determining how close solutions $\hat \theta$ to different flavours of the Lasso problem come to the true, $S$-sparse vector $\theta^*$. A useful notion is the set of $S$-dominant vectors (my terminology): $$ C(S) = \{x: \|x_{S^c}\|_1 \le \|x_S\|_1\},$$ i.e.…