Skip to yearly menu bar Skip to main content


Poster

On model selection consistency of penalized M-estimators: a geometric theory

Jason D Lee · Yuekai Sun · Jonathan E Taylor

Harrah's Special Events Center, 2nd Floor

Abstract:

Penalized M-estimators are used in diverse areas of science and engineering to fit high-dimensional models with some low-dimensional structure. Often, the penalties are \emph{geometrically decomposable}, \ie\ can be expressed as a sum of (convex) support functions. We generalize the notion of irrepresentable to geometrically decomposable penalties and develop a general framework for establishing consistency and model selection consistency of M-estimators with such penalties. We then use this framework to derive results for some special cases of interest in bioinformatics and statistical learning.

Live content is unavailable. Log in and register to view live content