Belloni, A.; Chernozhukov, V.; Wang, L. - In: Biometrika 98 (2011) 4, pp. 791-806
We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors p is large, possibly much larger than n, but only s regressors are significant. The method is a modification of the lasso, called the square-root lasso. The method...