Sparsified-Learning for High-Dimensional Heavy-Tailed Locally Stationary Time Series, Concentration and Oracle Inequalities

Yingjie Wang, Mokhtar Z. Alaya, Salim Bouzebda +1

Sparse learning is ubiquitous in many machine learning tasks. It aims to regularize the goodness-of-fit objective by adding a penalty term to encode structural constraints on the m…