In this article we investigate consistency of selection in regression models via the popular Lasso method. Here we depart from the traditional linear regression assumption and consider approximations of the regression function f with elements of a given dictionary of M functions. The target for consistency is the index set of those functions from this dictionary that realize the most parsimonious approximation to f among all linear combinations belonging to an L₂ ball centered at f and of radius r²_n, M. In this framework we show that a consistent estimate of this index set can be derived via ℓ₁ penalized least squares, with a data dependent penalty and with tuning sequence r_n, M>$\sqrt{\log(Mn)/n}$, where n is the sample size. Our results hold for any 1≤M≤n^γ, for any γ>0.

Digital Object Identifier: 10.1214/074921708000000101