Censored linear model in high dimensions

Patric Müller, Sara van de Geer

Published 2014-05-03Version 1

Censored data are quite common in statistics and have been studied in depth in the last years. In this paper we consider censored high-dimensional data. High-dimensional models are in some way more complex than their low-dimensional versions, therefore some different techniques are required. For the linear case appropriate estimators based on penalized regression, have been developed in the last years. In particular in sparse contexts the $l_1$-penalised regression (also known as LASSO) performs very well. Only few theoretical work was done in order to analyse censored linear models in a high-dimensional context. We therefore consider a high-dimensional censored linear model, where the response variable is left-censored. We propose a new estimator, which aims to work with high-dimensional linear censored data. Theoretical non-asymptotic oracle inequalities are derived.