| Abstract: | 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 ?0‐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 the strong oracle property over a wide range of regularization parameters. Numerical examples and a real data example lend further support to our proposed methodology. |
