Sparse recovery under matrix uncertainty

Annals of Statistics

Volumn 38, Issue 5, 2010, Pages 2620-2651

  Rosenbaum, Mathieu ^a   Tsybakov, Alexandre B ^b,c  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b CREST   (France)

^c SORBONNE UNIVERSITÉ   (France)

Author keywords

Errors in variables model; Matrix uncertainty; Measurement error; Missing data; MU selector; Oracle inequalities; Portfolio replication; Portfolio selection; Restricted eigenvalue assumption; Sign consistency; Sparsity

Indexed keywords

EID: 77957596337     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AOS793     Document Type: Article

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