Published on Fri May 31 2013

On model selection consistency of regularized M-estimators

Jason D. Lee, Yuekai Sun, Jonathan E. Taylor

Regularized M-estimators are used in diverse areas of science and engineering. They are used to fit high-dimensional models with some low-dimensional structure. In such settings, it is desirable for estimates of the model parameters to be consistent.

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Abstract

Regularized M-estimators are used in diverse areas of science and engineering to fit high-dimensional models with some low-dimensional structure. Usually the low-dimensional structure is encoded by the presence of the (unknown) parameters in some low-dimensional model subspace. In such settings, it is desirable for estimates of the model parameters to be \emph{model selection consistent}: the estimates also fall in the model subspace. We develop a general framework for establishing consistency and model selection consistency of regularized M-estimators and show how it applies to some special cases of interest in statistical learning. Our analysis identifies two key properties of regularized M-estimators, referred to as geometric decomposability and irrepresentability, that ensure the estimators are consistent and model selection consistent.