Improved bounds for Square-Root Lasso and Square-Root Slope

Extending the results of Bellec, Lecu\é and Tsybakov to the setting of sparse high-dimensional linear regression with unknown variance, we show that two estimators, the Square-Root Lasso and the Square-Root Slope can achieve the optimal minimax prediction rate, which is $(s/n) \log (p/s)$, up to some constant, under some mild conditions on the design matrix. Here, $n$ is the sample size, $p$ is the dimension and $s$ is the sparsity parameter. We also prove optimality for the estimation error in the $l_q$-norm, with $q \in [1,2]$ for the Square-Root Lasso, and in the $l_2$ and sorted $l_1$ norms for the Square-Root Slope. Both estimators are adaptive to the unknown variance of the noise. The Square-Root Slope is also adaptive to the sparsity $s$ of the true parameter. Next, we prove that any estimator depending on $s$ which attains the minimax rate admits an adaptive to $s$ version still attaining the same rate. We apply this result to the Square-root Lasso. Moreover, for both estimators, we obtain valid rates for a wide range of confidence levels, and improved concentration properties as in [Bellec, Lecu\é and Tsybakov, 2017] where the case of known variance is treated. Our results are non-asymptotic.