Sparse estimation via \ell_{q} optimization method in high-dimensional linear regression

# Sparse estimation via ℓq optimization method in high-dimensional linear regression

Xin Li School of Mathematical Sciences, Zhejiang University, Hangzhou 310027, P. R. China (11435017@zju.edu.cn).    Yaohua Hu Shenzhen Key Laboratory of Advanced Machine Learning and Applications, College of Mathematics and Statistics, Shenzhen University, Shenzhen 518060, P. R. China (mayhhu@szu.edu.cn).    Chong Li School of Mathematical Sciences, Zhejiang University, Hangzhou 310027, P. R. China (cli@zju.edu.cn).    Xiaoqi Yang Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong (mayangxq@polyu.edu.hk).    Tianzi Jiang Brainnetome Center, Institute of Automation, Chinese Academy of Sciences, Beijing 100190, P. R. China (jiangtz@nlpr.ia.ac.cn).
###### Abstract

In this paper, we discuss the statistical properties of the optimization methods , including the minimization method and the regularization method, for estimating a sparse parameter from noisy observations in high-dimensional linear regression with either a deterministic or random design. For this purpose, we introduce a general -restricted eigenvalue condition (REC) and provide its sufficient conditions in terms of several widely-used regularity conditions such as sparse eigenvalue condition, restricted isometry property, and mutual incoherence property. By virtue of the -REC, we exhibit the stable recovery property of the optimization methods for either deterministic or random designs by showing that the recovery bound for the minimization method and the oracle inequality and recovery bound for the regularization method hold respectively with high probability. The results in this paper are nonasymptotic and only assume the weak -REC. The preliminary numerical results verify the established statistical property and demonstrate the advantages of the regularization method over some existing sparse optimization methods.

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Keywords: sparse estimation, lower-order optimization method, restricted eigenvalue condition, recovery bound, oracle property

## 1 Introduction

In various areas of applied sciences and engineering, a fundamental problem is to estimate an unknown parameter of a linear regression model

 y=Xβ∗+e, (1)

where is a design matrix, is a vector containing random measurement noise, and thus is the corresponding vector of the noisy observations. According to the context of practical applications, the design matrix could be either deterministic or random.
The curse of dimensionality always occurs in the high-dimensional regime of many application fields. For example, in magnetic resonance imaging , remote sensing , systems biology , one is typically only able to collect far fewer samples than the number of variables due to physical or economical constraints, i.e., . Under the high-dimensional scenario, estimating the true underlying parameter of model (1) is a vital challenge in contemporary statistics, whereas the classical ordinary least squares (OLS) does not work well in this scenario because the corresponding linear system is seriously ill-conditioned.

### 1.1 ℓ1 Optimization Problems

Fortunately, in practical applications, a wide class of problems usually have certain special structures, employing which could eliminate the nonidentifiability of model (1) and enhance the predictability. One of the most popular structures is the sparsity structure, that is, the underlying parameter in the high-dimensional space is sparse. One common way to measure the degree of sparsity is the norm, which for is defined as

 ∥β∥q:=(n∑i=1|βi|q)1/q,

while is defined as the number of nonzero entries of . We first review the literature of sparse estimation for the case when the design matrix is deterministic. In the presence of a bounded noise (i.e., ), in order to find the sparest solution, Donoho et al.  proposed the following (constrained) minimization problem:

 (CP0,ϵ)min∥β∥0s.t.∥y−Xβ∥2≤ϵ.

Unfortunately, it is NP-hard to compute its global solution due to the nonconvex and combinational natures .

To overcome this obstacle, a common technique is to use the (convex) norm to approach the norm:

 (CP1,ϵ)min∥β∥1s.t.∥y−Xβ∥2≤ϵ,

which can be efficiently solved by several standard methods; see [14, 21] and references therein. The stable statistical properties of have been explored under the regularity conditions. One of the most important stable statistical properties is the recovery bound property, which is to estimate the upper bound of the error between the optimal solution of the optimization problem and the true underlying parameter in terms of the noise level . More specifically, let and be an -sparse parameter (i.e., ) satisfying the linear regression model (1). The recovery bound for was provided in  and  under the mutual incoherence property (MIP) or the restricted isometry property (RIP)111It was claimed in  that the RIP  is implied by the MIP , while the restricted isometry constant (RIC) is more difficult to be calculated than the mutual incoherence constant (MIC)., respectively:

 ∥¯β1,ϵ−β∗∥2=O(ϵ),

where stands for the optimal solution of .

In some applications, the amplitude of noise is difficult to estimate. As such the study of the constrained sparse optimization models is underdeveloped. In such situations, the regularization technique has been widely used in statistics and machine learning, which helps to avoid the noise estimation by introducing a regularization parameter. Specifically, one solves the (unconstrained) regularization problem:

 (RP1,λ)min12m∥y−Xβ∥22+λ∥β∥1,

where is the regularization parameter, providing a tradeoff between data fidelity and sparsity. The regularization model, also named the Lasso estimator , has attracted a great deal of attention in parameter estimation in the high-dimensional scenario, because its convexity structure is beneficial in designing exclusive and efficient algorithms and gaining wide applications; see [3, 15] and references therein. For the noise-free case, the recovery bound for was provided in  under the RIP or the restricted eigenvalue condition (REC)222It was reported in  that the REC is implied by the RIP, and in  that a broad class of correlated Gaussian design matrices satisfy the REC but violate the RIP with high probability.:

 ∥^β1,λ−β∗∥22=O(λ2s),

where denotes the optimal solution of . Furthermore, assuming that the noise in model (1) is normally distributed , it was established in [4, 6, 47] that the following recovery bound holds with high probability

 ∥^β1,λ−β∗∥22=O(σ2slognm),

when the regularization parameter is chosen as and under the RIP, REC or other regularity conditions, respectively. However, the minimization and regularization problems suffer several dissatisfactions in both theoretical and practical applications. In particular, it was reported by extensive theoretical and empirical studies that the minimization and regularization problems suffer from significant estimation bias when parameters have large absolute values; the induced solutions are much less sparse than the true parameter, they cannot recover a sparse signal with the least samples when applied to compressed sensing, and that they often result in sub-optimal sparsity in practice; see, e.g., [12, 20, 44, 43, 48]. Therefore, there is a great demand for developing the alternative sparse estimation technique that enjoys nice statistical theory and successful applications.

To address the bias and the sub-optimal issues induced by the norm, several nonconvex regularizers have been proposed such as the smoothly clipped absolute deviation (SCAD) , minimax concave penalty (MCP) , norm , norm () , and capped norm ; specifically, the SCAD and MCP fall into the category of folded concave penalized (FCP) methods. It was studied in  that the global solution of the FCP sparse linear regression enjoys the oracle property under the sparse eigenvalue condition; see Remark 4(iii) for details.

It is worth noting that the norm regularizer () has been recognized as an important technique for sparse optimization and gained successful applications in various applied science fields; see, e.g., [12, 33, 43]. In the present paper, we focus on the statistical property of the optimization method, which is beyond the category of the FCP. Throughout the whole paper, we always assume that unless otherwise specified.

### 1.2 ℓq Optimization Problems

Due to the fact that , the norm has also been adopted as another alternative sparsity promoting penalty function of the and norms. The following optimization problems have attracted a great amount of attention and gained successful applications in a wide range of fields (see [12, 33, 43] and references therein):

 (CPq,ϵ)min∥β∥qs.t.∥y−Xβ∥2≤ϵ,

and

 (RPq,λ)min12m∥y−Xβ∥22+λ∥β∥qq.

In particular, the numerical results in  and  showed that the minimization and the regularization admit a significantly stronger sparsity promoting capability than the minimization and the regularization, respectively; that is, they allow to obtain a more sparse solution from a smaller amount of samplings.  revealed that the regularization achieved a more reliable biological solution than the regularization in the field of systems biology.

The advantage of the lower-order optimization problem has also been shown in theory that it requires a weaker regularity condition to guarantee the stable statistical property than the classical optimization problem. In particular, let and denote the optimal solution of and , respectively. The recovery bound for was established in  and  under MIP and RIP respectively:

 ∥¯βq,ϵ−β∗∥2=O(ϵ), (2)

where the MIP or RIP is weaker than the one used in the study of .  established an recovery bound for in the noise-free case:

 ∥^βq,λ−β∗∥22=O(λ22−qs) (3)

under the introduced -REC, which is strictly weaker than the classical REC. However, the theoretical study of the optimization problem is still limited; particularly, there is still no paper devoted to establishing the statistical property of the minimization problem when the noise is randomly distributed, and that of the regularization problem in the noise-aware case.

### 1.3 Contributions of This Paper

The main contribution of the present paper is the establishment of the statistical properties for the optimization problems, including and , in the noise-aware case; specifically, in the case when the linear regression model (1) involves a Gaussian noise . For this purpose, we extend the -REC  to a more general one, which is one of the weakest regularity conditions for estimating the recovery bounds of sparse estimation models, and provide some sufficient conditions for guaranteeing the general -REC in terms of REC, RIP, and MIP (with a less restrictive constant); see Propositions 1 and 2. Under the general -REC, we show that the recovery bound (2) holds for with high probability, and that

 ∥^βq,λ−β∗∥22=O⎛⎝(σ2lognm)12−qs⎞⎠,

as well as the estimation of prediction loss and the oracle property, hold for with high probability; see Theorems 1 and 2, respectively. These results provide a unified framework of the statistical properties of the optimization problems, and improve the ones of the minimization problem [16, 39] and the regularization problem [4, 6, 47] under the -REC; see Remark 4. They are not only of independent interest in establishing statistical properties for the lower-order optimization problems with randomly noisy data, but also provide a useful tool for the study of the case when the design matrix is random.

Another contribution of the present paper is to explore the recovery bounds for the optimization problems with a random design matrix and random noise , which is more realistic in the real-world applications; e.g., compressed sensing , signal processing , statistical learning . As reported in , the key issue for studying the statistical properties of a sparse estimation model with a random design matrix is to provide suitable conditions on the population covariance matrix of , which can guarantee the regularity conditions with high probability; see, e.g., [9, 35]. Motivated by the real-world applications, we consider the standard case when is a Gaussian random design with i.i.d. rows and the linear regression model (1) involves a Gaussian noise, explore a sufficient condition for ensuring the -REC of with high probability in terms of the -REC of , and apply the preceding results to establish the recovery bounds (2) for , and (3), as well as the predication loss and the oracle inequality, for , respectively; see Theorems 3 and 4. These results provide a unified framework of the statistical properties of the optimization problems with a Gaussian random design under the -REC, which cover the ones of the optimization problems (see [49, Theorem 3.1]) as special cases; see Corollaries 3 and 4. To the best of our knowledge, most results presented in this paper are new, either for the deterministic or random design matrix.

We also carry out the numerical experiments on the standard simulated data. The preliminary numerical results verify the established statistical properties and show that the optimization methods possess better recovery performance than the optimization method, SCAD and MCP, which coincides with existing numerical studies [25, 43] on the regularization problem. More specifically, the regularization method outperforms the , SCAD and MCP regularization methods in the sense that its estimated error decreases faster when the sample size increases and achieves a more accurate solution.

The remainder of this paper is organized as follows. In section 2, we introduce the lower-order REC and discuss its sufficient conditions. In section 3, we establish the recovery bounds for and with a deterministic design matrix. The extension to the linear regression model with a Gaussian random design and preliminary numerical results are presented in sections 4 and 5, respectively.
We end this section by presenting the notations adopted in this paper. We use Greek lowercase letters to denote the vectors, capital letters , to denote the index sets, and script captical letters , , to denote the random events. For and , we use to denote the vector in that for and zero elsewhere, to denote the cardinality of , to denote the complement of , and to denote the support of , i.e., the index set of nonzero entries of . Particularly, stands for the identity matrix in , and and denote the probability that event happens and the conditional probability that event happens given that event happens, respectively.

## 2 Restricted Eigenvalue Conditions

This section aims to discuss some regularity conditions imposed on the design matrix that are needed to guarantee the stable statistical properties of and .
In statistics, the ordinary least squares (OLS) is a classical technique for estimating the unknown parameters in a linear regression model and has favourable properties if some regularity conditions are satisfied; see, e.g., . For example, the OLS always requires the positive definiteness of the Gram matrix , that is,

 minβ∈Rn:β≠0(β⊤Γ(X)β)1/2∥β∥2=minβ∈Rn:β≠0∥Xβ∥2∥β∥2>0. (4)

However, in the high-dimensional setting, the OLS does not work well; in fact, the matrix is seriously degenerate, i.e.,

 minβ∈Rn:β≠0∥Xβ∥2∥β∥2=0.

To deal with the challenges caused by the high-dimensional data, the Lasso (least absolute shrinkage and selection operator) estimator was introduced by . Since then the Lasso estimator has gained a great success in the sparse representation and machine learning of high-dimensional data; see, e.g., [4, 41, 47] and references therein. It was pointed out that Lasso requires a weak condition, called the restricted eigenvalue condition (REC) , to ensure the nice statistical properties; see, e.g., [42, 27, 32]. In the definition of REC, the minimum in (4) is replaced by a minimum over a restricted set of vectors measured by an norm inequality, and the norm in the denominator is replaced by the norm of only a part of . The notion of REC was extended to the group-wised lower-order REC in , which was used there to explore the oracle property and recovery bound of the regularization problem in a noise-free case.
Inspired by the ideas in [4, 25], we here introduce a lower-order REC for the optimization problems, similar to but more general than the one in , where the minimum is taken over a restricted set of vectors measured by an norm inequality. To proceed, we shall introduce some useful notations. For the remainder of this paper, let and be a pair of integers such that

 1≤s≤t≤nands+t≤n. (5)

For and , we define by the index set corresponding to the first largest coordinates in absolute value of in . For , its -restricted eigenvalue modulus relative to is defined by

 ϕq(s,t,a,X):=min{∥Xδ∥2∥δJ∪J(δ;t)∥2:|J|≤s,∥δJc∥qq≤a∥δJ∥qq}. (6)

The lower-order REC is defined as follows.

###### Definition 1.

Let and . is said to satisfy the -restricted eigenvalue condition relative to (-REC in short) if

 ϕq(s,t,a,X)>0.
###### Remark 1.

(i) Clearly, the -REC provides a unified framework of the REC-type conditions, e.g., it includes the classical REC in  (when ) and the -REC in  (when ) as special cases.

(ii) The restricted eigenvalue modulus (with ) defined in (6) is slightly different from the one of the classical REC in , in which the factor appears in the denominator there. The reason is that we consider not only the linear regression with a deterministic design as in , but also a random design case; for the later case, the -REC is assumed to be satisfied for the population covariance matrix of , in which the sample size does not appear. Hence, to make it consistent for both two cases, we introduce a new definition of the restricted eigenvalue modulus in (6) by removing the factor from the denominator. Hereby, this is the difference between the restricted eigenvalue modulus (6) and that in . For example, if the matrix has i.i.d. Gaussian entries, the restricted eigenvalue modulus in  scales as a constant, equally, given by (6) scales as , independent of , , and , whenever is bounded. Consequently, the terms in the denominator of conclusions of Theorem 2 and Corollary 2 scale as a constant in this situation.

It is natural to study the relationships between the -RECs and other types of regularity conditions. To this end, we first recall some basic properties of the norm in the following lemmas; particularly, Lemma 1 is taken from [24, Section 8.12] and [25, Lemmas 1 and 2].

###### Lemma 1.

Let . Then the following relations are true:

 ∥β∥q2≤∥β∥q1≤n1q1−1q2∥β∥q2for any 0
 ∥α∥qq−∥β∥qq≤∥α+β∥qq≤∥α∥qq+∥β∥qqfor any 0
###### Lemma 2.

Let , , , and be such that

 max1≤i≤n1αi≤min1≤j≤n2βjandn1∑i=1αi≤cn2∑j=1βj. (9)

Then

 n1∑i=1αpi≤cn2∑j=1βpj. (10)
###### Proof.

Let and . Then it holds that

 αmaxn1∑i=1αpi≤αpmaxn1∑i=1αiandβpminn2∑j=1βj≤βminn2∑j=1βpj. (11)

Without loss of generality, we assume that ; otherwise, (10) holds automatically. Thus, by the first inequality of (9) and noting , we have that

 0<αpmaxβmin≤αmaxβpmin. (12)

Multiplying the inequalities in (11) by and respectively, we obtain that

 αmaxβminn1∑i=1αpin2∑j=1βj ≤αpmaxβminn1∑i=1αin2∑j=1βj ≤αmaxβpminn1∑i=1αin2∑j=1βj ≤αmaxβminn1∑i=1αin2∑j=1βpj,

where the second inequality follows from (12). This, together with the second inequality of (9), yields (10). The proof is complete. ∎

Extending [25, Proposition 5] to the general -REC, the following proposition validates the relationship between the -RECs: the lower the , the weaker the -REC. However, the inverse of this implication is not true; see [25, Example 1] for a counter example. We provide the proof so as to make this paper self-contained, although the idea is similar to that of [25, Proposition 5].

###### Proposition 1.

Let , , and be a pair of integers satisfying (5). Suppose that and that satisfies the -REC. Then satisfies the -REC.

###### Proof.

Associated with the -REC, we define the feasible set

 Cq(s,a):={δ∈Rn:∥δJc∥qq≤a∥δJ∥qq for some |J|≤s}. (13)

By Definition 1, it remains to show that . To this end, let , and let denote the index set of the first largest coordinates in absolute value of . By the assumption that and by the construction of , one has . Then we obtain by Lemma 2 (with in place of ) that ; consequently, . Hence, it follows that , and the proof is complete. ∎

It is revealed from Proposition 1 that the classical REC is a sufficient condition of the lower-order REC. In the sequel, we will further discuss some other types of regularity conditions: the sparse eigenvalues condition (SEC), the restricted isometry property (RIP), and the mutual incoherence property (MIP), which have been widely used in the literature of statistics and engineering, for ensuring the lower-order REC.

The SEC is a popular regularity condition required to guarantee the nice properties of sparse representation; see [4, 17, 46] and references therein. For and , the -sparse minimal eigenvalue and -sparse maximal eigenvalue of are respectively defined by

 σmin(s,Δ):=minβ∈Rn:1≤∥β∥0≤sβ⊤Δββ⊤β,σmax(s,Δ):=maxβ∈Rn:1≤∥β∥0≤sβ⊤Δββ⊤β. (14)

The SEC was first introduced in  to show that the optimal solution of well approximates that of whenever .

The RIP is another well-known regularity condition in the scenario of sparse learning, which was introduced by  and has been widely used in the study of the oracle property and recovery bound for the high-dimensional regression model; see [4, 9, 37] and references therein. Below, we recall the RIP-type notions from .

###### Definition 2.

 Let and let be such that .

1. The -restricted isometry constant of , denoted by , is defined to be the smallest quantity such that, for any and with ,

 (1−ηs(X))∥βJ∥22≤∥XβJ∥22≤(1+ηs(X))∥βJ∥22. (15)
2. The -restricted orthogonality constant of , denoted by , is defined to be the smallest quantity such that, for any and with , and ,

 |⟨XβJ,XβT⟩|≤θs,t(X)∥βJ∥2∥βT∥2. (16)

The MIP is also a well-known regularity condition in the scenario of sparse learning, which was introduced by  and has been used in [4, 7, 17, 18] and references therein. In the case when each diagonal element of the Gram matrix is 1, coincides with the mutual incoherence constant; see .

The following lemmas are useful for establishing the relationship between the -REC and other types of regularity conditions; in particular, Lemmas 3 and 4 are taken from [10, Lemma 1.1] and [42, Lemma 3.1], respectively.

###### Lemma 3.

Let and be such that . Then

 θs,t(X)≤ηs+t(X)≤θs,t(X)+max{ηs(X),ηt(X)}.
###### Lemma 4.

Let and be such that . Then .

For the sake of simplicity, a partition structure and some notations are presented. For a vector and an index set , we use to denote the rank of the absolute value of in (in a decreasing order) and to denote the index set of the -th batch of the first largest coordinates in absolute value of in . That is,

 Jk(δ;t):={i∈Jc:rank(δi;Jc)∈{kt+1,…,(k+1)t}}for each k∈N. (17)
###### Lemma 5.

Let , , , and be a pair of integers satisfying (5). Then the following relations are true:

 ϕq(s,t,a,X)≥√σmin(s+t,Γ(X))−a1q(st)1q−12√σmax(t,Γ(X)), (18)
 ϕq(s,t,a,X)≤√σmax(s+t,Γ(X))+a1q(st)1q−12√σmax(t,Γ(X)). (19)
###### Proof.

Fix , as defined by (13). Then there exists such that

 |J|≤sand∥δJc∥qq≤a∥δJ∥qq. (20)

Write (where denotes the largest integer not greater than ), (defined by (17)) for each and . Then it follows from [25, Lemma 7] and (20) that

 r∑k=1∥δJk∥2≤t12−1q∥δJc∥q≤a1qt12−1q∥δJ∥q≤a1q(st)1q−12∥δJ∥2 (21)

(due to (7)). Noting by (17) and (20) that and for each , one has by (14) that

 √σmin(s+t,Γ(X))∥δJ∗∥2≤∥XδJ∗∥2≤√σmax(s+t,Γ(X))∥δJ∗∥2,
 ∥XδJk∥2≤√σmax(t,Γ(X))∥δJk∥2for each  k∈N.

These, together with (21), imply that

 ∥Xδ∥2 ≥∥XδJ∗∥2−r∑k=1∥XδJk∥2 ≥(√σmin(s+t,Γ(X))−a1q(st)1q−12√σmax(t,Γ(X)))∥δJ∗∥2.

Since and satisfying (20) are arbitrary, (18) is shown to hold by (6) and the fact that . One can prove (19) in a similar way, and thus, the details are omitted. ∎

The following proposition provides the sufficient conditions for the -REC in terms of the SEC, RIP and MIP; see (a), (b) and (c) below respectively.

###### Proposition 2.

Let , , , and be a pair of integers satisfying (5). Then satisfies the -REC provided that one of the following conditions:

1. .

2. each diagonal element of is and

 θ1,1(X)<((1+2a(ast)1q−1)(s+t))−1.
###### Proof.

It directly follows from Lemma 5 (cf. (18)) that satisfies the -REC provided that condition (a) holds. Fix , and let , , (for each ) and be defined, respectively, as in the beginning of the proof of Lemma 5. Then (21) follows directly and it follows from [25, Lemma 7] and (17) that

 ∥δJc∗∥1=r∑k=1∥δJk∥1≤t1−1q∥δJc∥q≤a1qt1−1q∥δJ∥q≤a1q(st)1q−1∥δJ∥1. (22)

Suppose that condition (b) is satisfied. By Definition 2 (cf. (16)), one has that

 |⟨XδJ∗,XδJc∗⟩|≤r∑k=1|⟨XδJ∗,XδJk⟩|≤θt,s+t(X)∥δJ∗∥2r∑k=1∥δJk∥2.

Then it follows from (21) that

 |⟨XδJ∗,XδJc∗⟩| ≤ a1q(st)1q−12θt,s+t(X)∥δJ∗∥2∥δJ∥2 (23) ≤ a1q(st)1q−12θt,s+t(X)1−ηs+t(X)∥XδJ∗∥22

(by (15)). Since (by (5)), one has by Definition 2(i) that , and then by Lemma 3 that . Then it follows from (b) that

 0

This, together with (23), shows that Lemma 4 is applicable (with , , in place of , , ) to concluding that

 ∥Xδ∥22 ≥ ⎛⎜ ⎜ ⎜⎝1−a1q(st)1q−12θt,s+t(X)1−ηs+t(X)⎞⎟ ⎟ ⎟⎠2∥XδJ∗∥22 ≥ (1−ηs+t(X))⎛⎜ ⎜ ⎜⎝1−a1q(st)1q−12θt,s+t(X)1−ηs+t(X)⎞⎟ ⎟ ⎟⎠2∥δJ∗∥22

(due to (15)). Since and satisfying (20) are arbitrary, we derive by (6) and (24) that

 ϕq(s,t,a,X)≥√1−ηs+t(X)⎛⎜ ⎜ ⎜⎝1−a1q(st)1q−12θt,s+t(X)1−ηs+t(X)⎞⎟ ⎟ ⎟⎠>0;

consequently, satisfies the -REC.

Suppose that (c) is satisfied. Then we have by (22) and Definition 2 (cf. (16)) that

 ∥Xδ∥22 =∥XδJ∗∥22+2⟨XδJ∗,XδJc∗⟩+∥XδJc∗∥22 (25) ≥∥XδJ∗∥22−2|⟨XδJ∗,XδJc∗⟩| ≥∥XδJ∗∥22−2θ1,1(X)∥δJ∗∥1∥δJc∗∥1 ≥∥XδJ∗∥22−2a1q(st)1q−1θ1,1(X)∥δJ∗∥21.

Separating the diagonal and off-diagonal terms of the quadratic form , one has by (7) and (c) that

 ∥XδJ∗∥22 =n∑i=1(XTX)i,i(δJ∗)i(δJ∗)i+n∑j≠k(XTX)j,k(δJ∗)j(δJ∗)k =∥δJ∗∥22+n∑j≠k⟨X⋅j(δJ∗)j,X⋅k(δJ∗)k⟩ ≥∥δJ∗∥22−θ1,1(X)∥δJ∗∥21 ≥(1−(s+t)θ1,1(X))∥δJ∗∥22.

Combining this inequality with (25), we get that

Since and satisfying (20) are arbitrary, we derive by (6) and (c) that

 ϕq(s,t,a,X)≥1−(1+2a1q(st)1q−1)(s+t)θ1,1(X)>0;

consequently, satisfies the -REC. The proof is complete. ∎

###### Remark 2.

It was established in [4, Lemma 4.1(ii)], [42, Corollary 7.1 and 3.1] and [4, Assumption 5] that satisfies the classical REC under one of the following conditions:

1. .

2. each diagonal element of is and

Proposition 2 extends the existing results to the general case when and partially improves them; in particular, each of conditions (a)-(c) in Proposition 2 required for the -REC is less restrictive than the corresponding one of conditions (a’)-(c’) required for the classical REC in the situation when , which usually occurs in the high-dimensional scenario (see, e.g., [4, 9, 49]). Moreover, by Propositions 1 and 2, we achieve that the -REC is satisfied provided that one of the following conditions:

1. .

2. each diagonal element of is and

 θ1,1(X)<((1+2