Rejoinder: The Dantzig selector: Statistical estimation when $p$ is much larger than $n$

TL;DR

This paper discusses the Dantzig selector, a statistical estimation method designed for high-dimensional settings where the number of parameters exceeds the number of observations.

Contribution

It provides a detailed response and clarification to previous work on the Dantzig selector, emphasizing its theoretical properties and practical implications.

Findings

The Dantzig selector effectively estimates parameters in high-dimensional models.

The method achieves near-oracle performance under certain conditions.

The paper clarifies misconceptions and highlights the estimator's advantages.

Abstract

Rejoinder to ``The Dantzig selector: Statistical estimation when $p$ is much larger than $n$'' [math/0506081]