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In this paper, we propose the hard thresholding regression (HTR) for estimating high‐dimensional sparse linear regression models. HTR uses a two‐stage convex algorithm to approximate the ℓ0‐penalized regression: The first stage calculates a coarse initial estimator, and the second stage identifies the oracle estimator by borrowing information from the first one. Theoretically, the HTR estimator achieves...
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