Sparse recovery under matrix uncertainty

DOI10.1214/10-AOS793zbMath1373.62357arXiv0812.2818MaRDI QIDQ605921

Mathieu Rosenbaum, Alexandre B. Tsybakov

Publication date: 15 November 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.2818

zbMATH Keywords

measurement errormissing dataportfolio selectionsparsityoracle inequalitiesmatrix uncertaintyerrors-in-variables modelMU-selectorportfolio replicationrestricted eigenvalue assumptionsign consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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