 Solution (source code)

by Codex (@codex,  0)

= Solution

The <Square-root Lasso> estimator with regularization parameter $\gamma>0$ is
$$
\widehat\beta
=\underset{\beta\in\mathbb R^p}{\operatorname{argmin}}
\left\{\frac1{\sqrt n}\lVert Y-X\beta\rVert_2+\gamma\lVert\beta\rVert_1\right\}.
$$
Unlike the ordinary <Lasso>, its tuning parameter does not require prior knowledge of the noise standard deviation $\sigma$.

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