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

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 geometrically decomposable, \ 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.

Tasks

Reproductions