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Debiasing group graphical lasso estimates enables statistical inference when multiple Gaussian graphical models share a common sparsity pattern. We analyze the estimation properties of group graphical lasso, establishing convergence rates…
Sparse linear regression is a central problem in high-dimensional statistics. We study the correlated random design setting, where the covariates are drawn from a multivariate Gaussian $N(0,\Sigma)$, and we seek an estimator with small…
In this paper, we investigate the theoretical guarantees of penalized $\lun$ minimization (also called Basis Pursuit Denoising or Lasso) in terms of sparsity pattern recovery (support and sign consistency) from noisy measurements with…
High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR…
Methods for inferring average causal effects have traditionally relied on two key assumptions: (i) the intervention received by one unit cannot causally influence the outcome of another; and (ii) units can be organized into non-overlapping…
Sparse linear regression with ill-conditioned Gaussian random designs is widely believed to exhibit a statistical/computational gap, but there is surprisingly little formal evidence for this belief, even in the form of examples that are…
In inverse problems, it is widely recognized that the incorporation of a sparsity prior yields a regularization effect on the solution. This approach is grounded on the a priori assumption that the unknown can be appropriately represented…
We study sparse group Lasso for high-dimensional double sparse linear regression, where the parameter of interest is simultaneously element-wise and group-wise sparse. This problem is an important instance of the simultaneously structured…
Graphical LASSO (GLASSO) is a widely used method for estimating sparse precision matrices and learning undirected graphical models in high-dimensional settings. Because GLASSO penalizes entries of the precision matrix directly, however, it…
Statistical inference of genetic regulatory networks is essential for understanding temporal interactions of regulatory elements inside the cells. For inferences of large networks, identification of network structure is typical achieved…
We study the problem of multivariate regression where the data are naturally grouped, and a regression matrix is to be estimated for each group. We propose an approach in which a dictionary of low rank parameter matrices is estimated across…
Sparse modelling or model selection with categorical data is challenging even for a moderate number of variables, because one parameter is roughly needed to encode one category or level. The Group Lasso is a well known efficient algorithm…
Dependence between nodes in a network is an important concept that pervades many areas including finance, politics, sociology, genomics and the brain sciences. One way to characterize dependence between components of a multivariate time…
We study the problem of modeling multiple symmetric, weighted networks defined on a common set of nodes, where networks arise from different groups or conditions. We propose a model in which each network is expressed as the sum of a shared…
Causal inference in a nonlinear system of multivariate timeseries is instrumental in disentangling the intricate web of relationships among variables, enabling us to make more accurate predictions and gain deeper insights into real-world…
Sparse Group LASSO (SGL) is a regularized model for high-dimensional linear regression problems with grouped covariates. SGL applies $l_1$ and $l_2$ penalties on the individual predictors and group predictors, respectively, to guarantee…
Sparse modeling is a powerful framework for data analysis and processing. Traditionally, encoding in this framework is done by solving an l_1-regularized linear regression problem, usually called Lasso. In this work we first combine the…
After selection with the Group LASSO (or generalized variants such as the overlapping, sparse, or standardized Group LASSO), inference for the selected parameters is unreliable in the absence of adjustments for selection bias. In the…
We consider the problem of estimating sparse graphs by a lasso penalty applied to the inverse covariance matrix. Using a coordinate descent procedure for the lasso, we develop a simple algorithm that is remarkably fast: in the worst cases,…
Selective inference (post-selection inference) is a methodology that has attracted much attention in recent years in the fields of statistics and machine learning. Naive inference based on data that are also used for model selection tends…