Related papers: A Note on the SPICE Method
In this paper we present the SPICE approach for sparse parameter estimation in a framework that unifies it with other hyperparameter-free methods, namely LIKES, SLIM and IAA. Specifically, we show how the latter methods can be interpreted…
In this work, we extend the sparse iterative covariance-based estimator (SPICE), by generalizing the formulation to allow for different norm constraints on the signal and noise parameters in the covariance model. For a given norm, the…
This paper is concerned about sparse, continuous frequency estimation in line spectral estimation, and focused on developing gridless sparse methods which overcome grid mismatches and correspond to limiting scenarios of existing grid-based…
A sparse modeling is a major topic in machine learning and statistics. LASSO (Least Absolute Shrinkage and Selection Operator) is a popular sparse modeling method while it has been known to yield unexpected large bias especially at a sparse…
In this work, we consider an estimation method in sparse Poisson models inspired by [1] and provide novel sign consistency results under mild conditions.
Recent studies in the literature have paid much attention to the sparsity in linear classification tasks. One motivation of imposing sparsity assumption on the linear discriminant direction is to rule out the noninformative features, making…
Sparse linear regression is a vast field and there are many different algorithms available to build models. Two new papers published in Statistical Science study the comparative performance of several sparse regression methodologies,…
We consider model selection and estimation for partial spline models and propose a new regularization method in the context of smoothing splines. The regularization method has a simple yet elegant form, consisting of roughness penalty on…
Uncertainty estimation is critical in high-stakes machine learning applications. One effective way to estimate uncertainty is conformal prediction, which can provide predictive inference with statistical coverage guarantees. We present a…
In this note, we propose to use sparse methods (e.g. LASSO, Post-LASSO, sqrt-LASSO, and Post-sqrt-LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments in…
We present a new class of methods for high-dimensional nonparametric regression and classification called sparse additive models (SpAM). Our methods combine ideas from sparse linear modeling and additive nonparametric regression. We derive…
The popular Lasso approach for sparse estimation can be derived via marginalization of a joint density associated with a particular stochastic model. A different marginalization of the same probabilistic model leads to a different…
In the era of large time-domain spectro-photometric surveys, surface variations such as starspots, chemical inhomogeneities, pulsations, rotational distortions, and binary interactions can now be directly detected and modelled. Accurately…
The lasso is the most famous sparse regression and feature selection method. One reason for its popularity is the speed at which the underlying optimization problem can be solved. Sorted L-One Penalized Estimation (SLOPE) is a…
This paper contributes to the literature on treatment effects estimation with machine learning inspired methods by studying the performance of different estimators based on the Lasso. Building on recent work in the field of high-dimensional…
In high dimensional settings, sparse structures are crucial for efficiency, both in term of memory, computation and performance. It is customary to consider $\ell_1$ penalty to enforce sparsity in such scenarios. Sparsity enforcing methods,…
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…
This paper presents a comprehensive exploration of the theoretical properties inherent in the Adaptive Lasso and the Transfer Lasso. The Adaptive Lasso, a well-established method, employs regularization divided by initial estimators and is…
In high-dimensional statistical inference in which the number of parameters to be estimated is larger than that of the holding data, regularized linear estimation techniques are widely used. These techniques have, however, some drawbacks.…
Sparse regression has emerged as a popular technique for learning dynamical systems from temporal data, beginning with the SINDy (Sparse Identification of Nonlinear Dynamics) framework proposed by arXiv:1509.03580. Quantifying the…