Model selection consistency of dantzig selector

Yujie Gai, Lixing ZHU*, Lu Lin

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

7 Citations (Scopus)


Consistency of model selection hinges on the correlation between significant and insignificant predictors for "large p, small n" problems. Thus, Irrepresentable Conditions play an important role in consistency, that insignificant predictors are irrepresentable by significant ones. In this paper, we provide Irrepresentable Conditions when the Dantzig selector is applied; they ensure that the Dantzig selector consistently selects the true model with fixed p and diverging p (number of predictors) even at an exponential rate of n. Our conditions are sufficient for a strong sign consistency and Weak Irrepresentable Conditions are necessary for a weak sign consistency. Strong sign consistency leads to the conventional consistency of the estimation. As a by-product, the results also show the difference between the Dantzig selector and the Lasso when consistency is at issoe. Simulation studies are performed to examine the theoretical results.

Original languageEnglish
Pages (from-to)615-634
Number of pages20
JournalStatistica Sinica
Issue number2
Publication statusPublished - Apr 2013

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Consistency
  • Dantzig selector
  • Irrepresentable Conditions


Dive into the research topics of 'Model selection consistency of dantzig selector'. Together they form a unique fingerprint.

Cite this