Related papers: Model selection by LASSO methods in a change-point…

This paper considers quantile model with grouped explanatory variables. In order to have the sparsity of the parameter groups but also the sparsity between two successive groups of variables, we propose and study an adaptive fused group…

One main obstacle for the wide use of deep learning in medical and engineering sciences is its interpretability. While neural network models are strong tools for making predictions, they often provide little information about which features…

The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. It can be severely biased when the time series dimension of the data, $T$, is long. The source of the bias is the large degree of…

The paper demonstrates the use of LASSO-based estimation in network models. Taking the Exponential Random Graph Model (ERGM) as a flexible and widely used model for network data analysis, the paper focuses on the question of how to specify…

Causal variable selection in time-varying treatment settings is challenging due to evolving confounding effects. Existing methods mainly focus on time-fixed exposures and are not directly applicable to time-varying scenarios. We propose a…

We consider a nonparametric additive model of a conditional mean function in which the number of variables and additive components may be larger than the sample size but the number of nonzero additive components is "small" relative to the…

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for…

This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the target variable, and noise variables that are not, and…

We study the high-dimensional linear model with noise distribution known up to a scale parameter. With an $\ell_1$-penalty on the regression coefficients, we show that a transformation of the log-likelihood allows for a choice of the tuning…

In the context of multiple regression model, suppose that the vector parameter of interest \beta is subjected to lie in the subspace hypothesis H\beta = h, where this restriction is based on either additional information or prior knowledge.…

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…

We propose a novel unsupervised object localization method that allows us to explain the predictions of the model by utilizing self-supervised pre-trained models without additional finetuning. Existing unsupervised and self-supervised…

We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large-sample limit. The asymptotic distributions are derived for both the case where the estimators are tuned to perform consistent…

This paper develops a unified and computationally efficient method for change-point estimation along the time dimension in a non-stationary spatio-temporal process. By modeling a non-stationary spatio-temporal process as a piecewise…

The detection of change-points in a spatially or time ordered data sequence is an important problem in many fields such as genetics and finance. We derive the asymptotic distribution of a statistic recently suggested for detecting…

Change point detection is a crucial aspect of analyzing time series data, as the presence of a change point indicates an abrupt and significant change in the process generating the data. While many algorithms for the problem of change point…

There has been much recent work on inference after model selection when the noise level is known, however, $\sigma$ is rarely known in practice and its estimation is difficult in high-dimensional settings. In this work we propose using the…

We consider the linear regression problem. We propose the S-Lasso procedure to estimate the unknown regression parameters. This estimator enjoys sparsity of the representation while taking into account correlation between successive…

LASSO regularization is a popular regression tool to enhance the prediction accuracy of statistical models by performing variable selection through the $\ell_1$ penalty, initially formulated for the linear model and its variants. In this…

This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method…