Support union recovery in high-dimensional multivariate regression
Support union recovery in high-dimensional multivariate regression
In multivariate regression, a K-dimensional response vector is regressed upon a common set of p covariates, with a matrix B∗ ∈ ℝp × K of regression coefficients. We study the behavior of the multivariate group Lasso, in which block regularization based on the ℓ1 ∕ ℓ2 norm is used for …