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- W1717817085 abstract "We consider the linear regression model with observation error in the design. In this setting, we allow the number of covariates to be much larger than the sample size. Several new estimation methods have been recently introduced for this model. Indeed, the standard Lasso estimator or Dantzig selector turn out to become unreliable when only noisy regressors are available, which is quite common in practice. We show in this work that under suitable sparsity assumptions, the procedure introduced in Rosenbaum and Tsybakov (2013) is almost optimal in a minimax sense and, despite non-convexities, can be efficiently computed by a single linear programming problem. Furthermore, we provide an estimator attaining the minimax efficiency bound. This estimator is written as a second order cone programming minimisation problem which can be solved numerically in polynomial time." @default.
- W1717817085 created "2016-06-24" @default.
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- W1717817085 date "2014-08-01" @default.
- W1717817085 modified "2023-09-27" @default.
- W1717817085 title "Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models" @default.
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