Square-Root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming by Alexandre Belloni and others (2011)

Primary text: arxiv.org/pdf/1009.5689

Cited passages: Section 1, equations (8)–(11), printed pp. 2–4: square-root loss and pivotal score. The inspected version is arXiv:1009.5689v5 (18 December 2011), accompanying the Biometrika paper, DOI 10.1093/biomet/asr043.