Support union recovery in high-dimensional multivariate regression
高维多元回归中的支持集并集恢复
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 support union recovery, or recovery of the set of s rows for which B∗ is nonzero. Under high-dimensional scaling, we show that the multivariate group Lasso exhibits a threshold for the recovery…