Related papers: Partial Consistency with Sparse Incidental Paramet…

In this article, we propose a penalized high dimensional semiparametric model average quantile prediction approach that is robust for forecasting the conditional quantile of the response. We consider a two-step estimation procedure. In the…

In the regression setting, given a set of hyper-parameters, a model-estimation procedure constructs a model from training data. The optimal hyper-parameters that minimize generalization error of the model are usually unknown. In practice…

This paper gives a comprehensive treatment of the convergence rates of penalized spline estimators for simultaneously estimating several leading principal component functions, when the functional data is sparsely observed. The penalized…

We consider the problem of sparse estimation via a lasso-type penalized likelihood procedure in a factor analysis model. Typically, the model estimation is done under the assumption that the common factors are orthogonal (uncorrelated).…

This paper studies sparse linear regression analysis with outliers in the responses. A parameter vector for modeling outliers is added to the standard linear regression model and then the sparse estimation problem for both coefficients and…

This paper focuses on variable selection for a partially linear single-index varying-coefficient model. A regularized variable selection procedure by combining basis function approximations with SCAD penalty is proposed. It can…

We study the Cox models with semiparametric relative risk, which can be partially linear with one nonparametric component, or multiple additive or nonadditive nonparametric components. A penalized partial likelihood procedure is proposed to…

We consider a dynamical system with small noise for which the drift is parametrized by a finite dimensional parameter. For this model we consider minimum distance estimation from continuous time observations under $l^p$-penalty imposed on…

Variable selection for models including interactions between explanatory variables often needs to obey certain hierarchical constraints. The weak or strong structural hierarchy requires that the existence of an interaction term implies at…

We consider the sparse principal component analysis for high-dimensional stationary processes. The standard principal component analysis performs poorly when the dimension of the process is large. We establish the oracle inequalities for…

Structured sparsity is an important part of the modern statistical toolkit. We say a set of model parameters has block diagonal sparsity up to permutations if its elements can be viewed as the edges of a graph that has multiple connected…

In this paper, we consider a high-dimensional quantile regression model where the sparsity structure may differ between two sub-populations. We develop $\ell_1$-penalized estimators of both regression coefficients and the threshold…

Penalized regression models are popularly used in high-dimensional data analysis to conduct variable selection and model fitting simultaneously. Whereas success has been widely reported in literature, their performances largely depend on…

In this paper, we propose a new semiparametric regression estimator by using a hybrid technique of a parametric approach and a nonparametric penalized spline method. The overall shape of the true regression function is captured by the…

Sparse linear discriminant analysis via penalized optimal scoring is a successful tool for classification in high-dimensional settings. While the variable selection consistency of sparse optimal scoring has been established, the…

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…

The paper considers a linear regression model in high-dimension for which the predictive variables can change the influence on the response variable at unknown times (called change-points). Moreover, the particular case of the heavy-tailed…

Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of valid moments can potentially improve estimation efficiency, in…

Covariance regression offers an effective way to model the large covariance matrix with the auxiliary similarity matrices. In this work, we propose a sparse covariance regression (SCR) approach to handle the potentially high-dimensional…

Motivated by value function estimation in reinforcement learning, we study statistical linear inverse problems, i.e., problems where the coefficients of a linear system to be solved are observed in noise. We consider penalized estimators,…