Related papers: New Error Analysis for Lasso

We introduce c-lasso, a Python package that enables sparse and robust linear regression and classification with linear equality constraints. The underlying statistical forward model is assumed to be of the following form: \[ y = X \beta +…

Medical imaging involves high-dimensional data, yet their acquisition is obtained for limited samples. Multivariate predictive models have become popular in the last decades to fit some external variables from imaging data, and standard…

Estimation of the precision matrix (or inverse covariance matrix) is of great importance in statistical data analysis and machine learning. However, as the number of parameters scales quadratically with the dimension $p$, computation…

The Gaussian graphical model, a popular paradigm for studying relationship among variables in a wide range of applications, has attracted great attention in recent years. This paper considers a fundamental question: When is it possible to…

In the sparse linear regression setting, we consider testing the significance of the predictor variable that enters the current lasso model, in the sequence of models visited along the lasso solution path. We propose a simple test statistic…

Lasso, or $\ell^1$ regularized least squares, has been explored extensively for its remarkable sparsity properties. It is shown in this paper that the solution to Lasso, in addition to its sparsity, has robustness properties: it is the…

We apply network Lasso to semi-supervised regression problems involving network structured data. This approach lends quite naturally to highly scalable learning algorithms in the form of message passing over an empirical graph which…

We consider the fundamental problem of estimating the mean of a vector $y=X\beta+z$, where $X$ is an $n\times p$ design matrix in which one can have far more variables than observations, and $z$ is a stochastic error term--the so-called…

We derive the $l_{\infty}$ convergence rate simultaneously for Lasso and Dantzig estimators in a high-dimensional linear regression model under a mutual coherence assumption on the Gram matrix of the design and two different assumptions on…

Analysis of non-asymptotic estimation error and structured statistical recovery based on norm regularized regression, such as Lasso, needs to consider four aspects: the norm, the loss function, the design matrix, and the noise model. This…

Although the Lasso has been extensively studied, the relationship between its prediction performance and the correlations of the covariates is not fully understood. In this paper, we give new insights into this relationship in the context…

We present a data dependent generalization bound for a large class of regularized algorithms which implement structured sparsity constraints. The bound can be applied to standard squared-norm regularization, the Lasso, the group Lasso, some…

This paper proposes a theory for $\ell_1$-norm penalized high-dimensional $M$-estimators, with nonconvex risk and unrestricted domain. Under high-level conditions, the estimators are shown to attain the rate of convergence…

Concentration inequalities form an essential toolkit in the study of high dimensional (HD) statistical methods. Most of the relevant statistics literature in this regard is based on sub-Gaussian or sub-exponential tail assumptions. In this…

This paper investigates the high-dimensional linear regression with highly correlated covariates. In this setup, the traditional sparsity assumption on the regression coefficients often fails to hold, and consequently many model selection…

This paper investigates the rate of convergence for the central limit theorem of linear spectral statistic (LSS) associated with large-dimensional sample covariance matrices. We consider matrices of the form ${\mathbf…

In high-dimensional statistics, the Lasso is a cornerstone method for simultaneous variable selection and parameter estimation. However, its reliance on the squared loss function renders it highly sensitive to outliers and heavy-tailed…

This paper proposes a bootstrap-assisted procedure to conduct simultaneous inference for high dimensional sparse linear models based on the recent de-sparsifying Lasso estimator (van de Geer et al. 2014). Our procedure allows the dimension…

Deepening and widening convolutional neural networks (CNNs) significantly increases the number of trainable weight parameters by adding more convolutional layers and feature maps per layer, respectively. By imposing inter- and intra-group…

We construct a classifier which attains the rate of convergence $\log n/n$ under sparsity and margin assumptions. An approach close to the one met in approximation theory for the estimation of function is used to obtain this result. The…