The Lasso under Heteroscedasticity

Understand

The performance of the Lasso is well understood under the assumptions of the standard linear model with homoscedastic noise.

• However, in several applications, the standard model does not describe the important features of the data.
• This paper examines how the Lasso performs on a non-standard model that is motivated by medical imaging applications.
• In these applications, the variance of the noise scales linearly with the expectation of the observation.