Simple expressions of the LASSO and SLOPE estimators in small-dimension
Résumé
We study the LASSO and SLOPE estimators when the design X satisfies ker(X) = 0. We state that, even if the design is not orthogonal, even if residuals are correlated, up to a transformation, the LASSO and SLOPE estimators have a simple expression based on the best linear unbiased estimator.
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