Faïcel Chamroukhi

Non-asymptotic oracle inequalities for the Lasso in high-dimensional mixture of experts

Abstract We study Lasso estimation for high-dimensional softmax-gated Gaussian mixture-of-experts (SGMoE) regression models, where the predictor dimension P may exceed the sample size N . Under bounded parameters, we establish a non-asymptotic Kullback–Leibler (KL) oracle inequal...