Noisy and Missing Data Regression: Distribution-Oblivious Support Recovery

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Summary

This paper develops a simple variant of orthogonal matching pursuit (OMP) for sparse regression, and shows that without knowledge of the noise covariance, the algorithm recovers the support, and provides matching lower bounds that show that the algorithm performs at the minimax optimal rate.

Type
article
Published
2013-06-16
Cited by
56
References
18

Keywords

Noise (video), Minimax, Covariance, Computer science, Matching pursuit

References

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