A pivotal transform for the high-dimensional location-scale model

Abstract

We study the high-dimensional linear model with noise distribution known up to a scale parameter. With an $\ell_1$-penalty on the regression coefficients, we show that a transformation of the log-likelihood allows for a choice of the tuning parameter not depending on the scale parameter. This transformation is a generalization of the square root Lasso for quadratic loss. The tuning parameter can asymptotically be taken at the detection edge. We establish an oracle inequality, variable selection and asymptotic efficiency of the estimator of the scale parameter and the intercept. The examples include Subbotin distributions and the Gumbel distribution.