Oracle high-dimensional $M$-estimation using smooth reparameterization for sparsity
利用稀疏性平滑重参数化实现高维M估计的预言性质
This paper establishes a unified non-linear regularization framework for high-dimensional $M$-estimation, encompassing both linear models and Cox's proportional hazards models. Rather than relying on traditional additive non-convex penalties, the proposed paradigm embeds sparsity directly into the transformation for the physical parameter $θ=φ(β)$ using a smooth ($C^2$) component-wise "ReParametrization map for Sparsity (RePS)" $φ$, and the penalty term is $λ\Vert β\Vert_1$ r…