Asymptotic Equivalence of Regularization Methods in Thresholded Parameter Space

原文摘要

High-dimensional data analysis has motivated a spectrum of regularization methods for variable selection and sparse modeling, with two popular methods being convex and concave ones. A long debate has taken place on whether one class dominates the other, an important question both in theory and to practitioners. In this article, we characterize the asymptotic equivalence of regularization methods, with general penalty functions, in a thresholded parameter space under the generalized linear model setting, where the dimensionality can grow exponentially with the sample size. To assess their performance, we establish the oracle inequalities—as in Bickel, Ritov, and Tsybakov (2009 Bickel, P. J., Ritov, Y. and Tsybakov, A. 2009. “Simultaneous Analysis of Lasso and Dantzig Selector,”. The Annals of Statistics, 37: 1705–1732. [Crossref], [Web of Science ®] , [Google Scholar])—of the global minimizer for these methods under various prediction and variable selection losses. These results reveal an interesting phase transition phenomenon. For polynomially growing dimensionality, the L 1-regularization method of Lasso and concave methods are asymptotically equivalent, having the same convergence rates in the oracle inequalities. For exponentially growing dimensionality, concave methods are asymptotically equivalent but have faster convergence rates than the Lasso. We also establish a stronger property of the oracle risk inequalities of the regularization methods, as well as the sampling properties of computable solutions. Our new theoretical results are illustrated and justified by simulation and real data examples.

摘要来源：OpenAlex 索引摘要（稿件版本未注明）