| Oracle Inequality for Sparse Trace Regression Models with Exponential β-mixing Errors |
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| 作者姓名： | Ling PENG Xiang Yong TAN Pei Wen XIAO Zeinab RIZK Xiao Hui LIU |
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| 作者单位： | 1. School of Statistics and Data Science, Jiangxi University of Finance and Economics;2. Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics |
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| 摘 要： | In applications involving,e.g.,panel data,images,genomics microarrays,etc.,trace regression models are useful tools.To address the high-dimensional issue of these applications,it is common to assume some sparsity property.For the case of the parameter matrix being simultaneously low rank and elements-wise sparse,we estimate the parameter matrix through the least-squares approach with the composite penalty combining the nuclear norm and the l1 norm.We extend the existing analysis of th...
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