Model Selection With Lasso-Zero: Adding Straw to the Haystack to Better Find Needles
Model Selection With Lasso-Zero: Adding Straw to the Haystack to Better Find Needles
The high-dimensional linear model y=Xβ0+ϵ is considered and the focus is put on the problem of recovering the support S0 of the sparse vector β0. We introduce a new l1-based estimator, called Lasso-Zero, whose novelty resides in the repeated use of noise dictionaries concatenated to X for overfitting the response. …