The lasso error vector lies in a cone
ProofGraduate⏱ 1 hourHigh-Dim Statisticslassocone conditionbasic inequalityrestricted eigenvalue
Problem
Let minimise with , and let , . Prove that on the event ,
Explain why this is the step that makes a restricted eigenvalue condition — rather than a full eigenvalue condition — sufficient.
Write a complete argument. Every inequality you use should be one you could state precisely.
Hints
Hints — 0 of 3 revealed
Solution
Opening this before you have a real attempt on paper is the fastest way to feel like you understand something you cannot reproduce.
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