Sparse Group Lasso: Optimal Sample Complexity, Convergence Rate, and Statistical Inference

09/21/2019

∙

by   T. Tony Cai, et al.

∙

23

∙

share

In this paper, we study sparse group Lasso for high-dimensional double sparse linear regression, where the parameter of interest is simultaneously element-wise and group-wise sparse. This problem is an important instance of the simultaneously structured model – an actively studied topic in statistics and machine learning. In the noiseless case, we provide matching upper and lower bounds on sample complexity for the exact recovery of sparse vectors and for stable estimation of approximately sparse vectors, respectively. In the noisy case, we develop upper and matching minimax lower bounds for estimation error. We also consider the debiased sparse group Lasso and investigate its asymptotic property for the purpose of statistical inference. Finally, numerical studies are provided to support the theoretical results.