Related papers: L1 penalized LAD estimator for high dimensional li…
This paper provides an alternative to penalized estimators for estimation and vari- able selection in high dimensional linear regression models with measurement error or missing covariates. We propose estimation via bias corrected least…
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…
Scaled sparse linear regression jointly estimates the regression coefficients and noise level in a linear model. It chooses an equilibrium with a sparse regression method by iteratively estimating the noise level via the mean residual…
Additive regression provides an extension of linear regression by modeling the signal of a response as a sum of functions of covariates of relatively low complexity. We study penalized estimation in high-dimensional nonparametric additive…
We develop a constructive approach to estimating sparse, high-dimensional linear regression models. The approach is a computational algorithm motivated from the KKT conditions for the $\ell_0$-penalized least squares solutions. It generates…
This paper investigates the partial linear model by Least Absolute Deviation (LAD) regression. We parameterize the nonparametric term using Deep Neural Networks (DNNs) and formulate a penalized LAD problem for estimation. Specifically, our…
We consider high-dimensional binary classification by sparse logistic regression. We propose a model/feature selection procedure based on penalized maximum likelihood with a complexity penalty on the model size and derive the non-asymptotic…
High-dimensional sparse modeling with censored survival data is of great practical importance, as exemplified by modern applications in high-throughput genomic data analysis and credit risk analysis. In this article, we propose a class of…
We present a novel approach to the formulation and the resolution of sparse Linear Discriminant Analysis (LDA). Our proposal, is based on penalized Optimal Scoring. It has an exact equivalence with penalized LDA, contrary to the multi-class…
Penalized estimation principle is fundamental to high-dimensional problems. In the literature, it has been extensively and successfully applied to various models with only structural parameters. As a contrast, in this paper, we apply this…
Despite its prevalence in statistical datasets, heteroscedasticity (non-constant sample variances) has been largely ignored in the high-dimensional statistics literature. Recently, studies have shown that the Lasso can accommodate…
This paper studies inference in the high-dimensional linear regression model with outliers. Sparsity constraints are imposed on the vector of coefficients of the covariates. The number of outliers can grow with the sample size while their…
This note studies a method for the efficient estimation of a finite number of unknown parameters from linear equations, which are perturbed by Gaussian noise. In case the unknown parameters have only few nonzero entries, the proposed…
When we are interested in high-dimensional system and focus on classification performance, the $\ell_{1}$-penalized logistic regression is becoming important and popular. However, the Lasso estimates could be problematic when penalties of…
Sparse linear regression methods such as Lasso require a tuning parameter that depends on the noise variance, which is typically unknown and difficult to estimate in practice. In the presence of heavy-tailed noise or adversarial outliers,…
This paper considers sparse linear discriminant analysis of high-dimensional data. In contrast to the existing methods which are based on separate estimation of the precision matrix $\O$ and the difference $\de$ of the mean vectors, we…
Fan and Li propose a family of variable selection methods via penalized likelihood using concave penalty functions. The nonconcave penalized likelihood estimators enjoy the oracle properties, but maximizing the penalized likelihood function…
We study estimation and testing in the Poisson regression model with noisy high dimensional covariates, which has wide applications in analyzing noisy big data. Correcting for the estimation bias due to the covariate noise leads to a…
This paper presents a general theoretical framework of penalized quasi-maximum likelihood (PQML) estimation in stationary multiple time series models when the number of parameters possibly diverges. We show the oracle property of the PQML…
This paper aims to build an estimate of an unknown density of the data with measurement error as a linear combination of functions from a dictionary. Inspired by the penalization approach, we propose the weighted Elastic-net penalized…