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Statistical-ComputationalTradeoffs inHigh-DimensionalSingleIndex Models

Neural Information Processing Systems

We study the statistical-computational tradeoffs in a high dimensional single index modelY = f(X>ฮฒ)+, where f is unknown,X is a Gaussian vector and ฮฒ is s-sparse with unit norm. WhenCov(Y,X>ฮฒ) 6= 0, [43] shows that the direction and support ofฮฒ can be recovered using a generalized version of Lasso.