Related papers: L1-Penalized Quantile Regression in High-Dimension…

In presence of sparse noise we propose kernel regression for predicting output vectors which are smooth over a given graph. Sparse noise models the training outputs being corrupted either with missing samples or large perturbations. The…

In this paper we propose the adaptive lasso for predictive quantile regression (ALQR). Reflecting empirical findings, we allow predictors to have various degrees of persistence and exhibit different signal strengths. The number of…

This paper presents a study on an $\ell_1$-penalized covariance regression method. Conventional approaches in high-dimensional covariance estimation often lack the flexibility to integrate external information. As a remedy, we adopt the…

We present a novel quantum high-dimensional linear regression algorithm with an $\ell_1$-penalty based on the classical LARS (Least Angle Regression) pathwise algorithm. Similarly to available classical algorithms for Lasso, our quantum…

Motivated by the prevalence of environments in which data is abundant while resources for storage and/or transmission might be scarce, we study linear regression when predictors, their squares, and responses are subject to single-bit…

This work addresses the robust reconstruction problem of a sparse signal from compressed measurements. We propose a robust formulation for sparse reconstruction which employs the $\ell_1$-norm as the loss function for the residual error and…

We study quantile trend filtering, a recently proposed method for nonparametric quantile regression with the goal of generalizing existing risk bounds known for the usual trend filtering estimators which perform mean regression. We study…

Quantile regression is a fundamental problem in statistical learning motivated by a need to quantify uncertainty in predictions, or to model a diverse population without being overly reductive. For instance, epidemiological forecasts, cost…

This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions. Here, sparsistency refers to the property that all…

Quantile regression is a statistical method for estimating conditional quantiles of a response variable. In addition, for mean estimation, it is well known that quantile regression is more robust to outliers than $l_2$-based methods. By…

We consider new formulations and methods for sparse quantile regression in the high-dimensional setting. Quantile regression plays an important role in many applications, including outlier-robust exploratory analysis in gene selection. In…

Regression quantiles have asymptotic variances that depend on the conditional densities of the response variable given regressors. This paper develops a new estimate of the asymptotic variance of regression quantiles that leads any…

We study sparse linear regression over a network of agents, modeled as an undirected graph (with no centralized node). The estimation problem is formulated as the minimization of the sum of the local LASSO loss functions plus a quadratic…

This paper studies quantile regression with an endogenous regressor and measurement error in the dependent variable. Standard quantile regression estimators ignoring these two elements can induce substantial bias. We adopt a…

In this paper, we focus on the local convergence rate analysis of the proximal iteratively reweighted $\ell_1$ algorithms for solving $\ell_p$ regularization problems, which are widely applied for inducing sparse solutions. We show that if…

This paper addresses the challenge of integrating sequentially arriving data within the quantile regression framework, where the number of features is allowed to grow with the number of observations, the horizon is unknown, and memory is…

We first propose a novel criterion that guarantees that an $s$-sparse signal is the local minimizer of the $\ell_1/\ell_2$ objective; our criterion is interpretable and useful in practice. We also give the first uniform recovery condition…

We present new large-scale algorithms for fitting a subgradient regularized multivariate convex regression function to $n$ samples in $d$ dimensions -- a key problem in shape constrained nonparametric regression with applications in…

For $V : \mathbb{R}^d \to \mathbb{R}$ coercive, we study the convergence rate for the $L^1$-distance of the empiric minimizer, which is the true minimum of the function $V$ sampled with noise with a finite number $n$ of samples, to the…

Imposition of a lasso penalty shrinks parameter estimates toward zero and performs continuous model selection. Lasso penalized regression is capable of handling linear regression problems where the number of predictors far exceeds the…