Improved matrix uncertainty selector
Improved matrix uncertainty selector
<!-- *** Custom HTML *** --> We consider the regression model with observation error in the design: \begin{eqnarray*}y&=&X\theta^*+\xi,\\ Z&=&X+\Xi.\end{eqnarray*} Here the random vector $y\in\mathbb{R}^n$ and the random $n\times p$ matrix $Z$ are observed, the $n\times p$ matrix $X$ is unknown, $\Xi$ is an $n\times p$ random noise matrix, $\xi\in\mathbb{R}^n$ is …