Wednesday, September 17, 2014

consistency property of lasso

This is about the meaning of | as in the "irrepresentable condition"  from On Model Selection Consistency of Lasso
It seems the operation is |x| = abs(sum(x)). I have never seen such a norm. But their Section "3.1 Simulation Example 1" makes me think so: 
... in two settings: (a) β1 = 2, β2 = 3 ; and (b) β1 =  2, β2 = 3. In both settings, X(1) = (X1;X2), X(2) = X3 and through (2), it is easy to get C21inv(C11)= (2/3,2/3). Therefore Strong Irrepresentable Condition fails for setting (a) and holds for setting (b).
Their Proof for Corollary 1 makes me think so:
There is a similar use here.

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