Optimal objective function in high-dimensional regression

April, 2012
Report Number: 
810
Authors: 
Derek Bean, Peter Bickel, Noureddine El Karoui, Bin Yu
Abstract: 

We consider, for the fi rst time in the modern setting of high- dimensional statistics, the classic problem of optimizing the objective function in regression. We propose an algorithm to compute this optimal objective function that takes into account the dimensionality of the problem.

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