High-dimensional nonconvex LASSO-type M-estimators

Abstract

A theory is developed to examine the convergence properties of ${\ell }_1$-norm penalized high-dimensional $M$-estimators, with nonconvex risk and unrestricted domain. Under high-level conditions, the estimators are shown to attain the rate of convergence $s_0\sqrt{log\left(nd\right)/n}$, where $s_0$ is the number of nonzero coefficients of the parameter of interest. Sufficient conditions for our main assumptions are then developed and finally used in several examples including robust linear regression, binary classification and nonlinear least squares.