Simple expressions of the LASSO and SLOPE estimators in small-dimension

Abstract : We study the LASSO and SLOPE estimators when the design X satisfies ker(X) = 0. We state that, even if the design is not orthogonal, even if residuals are correlated, up to a transformation, the LASSO and SLOPE estimators have a simple expression based on the best linear unbiased estimator.
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Submitted on : Wednesday, January 30, 2019 - 8:57:59 AM
Last modification on : Saturday, April 13, 2019 - 1:13:14 AM

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  • HAL Id : hal-01755076, version 2

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Remi Servien, Patrick Tardivel, Didier Concordet. Simple expressions of the LASSO and SLOPE estimators in small-dimension. 2019. ⟨hal-01755076v2⟩

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