Related papers: Covariate Selection in High-Dimensional Generalize…

The estimation of a sparse vector in the linear model is a fundamental problem in signal processing, statistics, and compressive sensing. This paper establishes a lower bound on the mean-squared error, which holds regardless of the…

We consider the problem of variable selection in Bayesian multivariate linear regression models, involving multiple response and predictor variables, under multivariate normal errors. In the absence of a known covariance structure,…

Performing statistical inference in high-dimension is an outstanding challenge. A major source of difficulty is the absence of precise information on the distribution of high-dimensional estimators. Here, we consider linear regression in…

Suppose that we observe $y \in \mathbb{R}^f$ and $X \in \mathbb{R}^{f \times m}$ in the following errors-in-variables model: \begin{eqnarray*} y & = & X_0 \beta^* + \epsilon \\ X & = & X_0 + W \end{eqnarray*} where $X_0$ is a $f \times m$…

Microarray studies, in order to identify genes associated with an outcome of interest, usually produce noisy measurements for a large number of gene expression features from a small number of subjects. One common approach to analyzing such…

We focus on the high dimensional linear regression $Y\sim\mathcal{N}(X\beta^{*},\sigma^{2}I_{n})$, where $\beta^{*}\in\mathds{R}^{p}$ is the parameter of interest. In this setting, several estimators such as the LASSO and the Dantzig…

For statistical inference on regression models with a diverging number of covariates, the existing literature typically makes sparsity assumptions on the inverse of the Fisher information matrix. Such assumptions, however, are often…

In covariance matrix estimation, one of the challenges lies in finding a suitable model and an efficient estimation method. Two commonly used modelling approaches in the literature involve imposing linear restrictions on the covariance…

We consider the problem of estimating high-dimensional covariance matrices of $K$-populations or classes in the setting where the sample sizes are comparable to the data dimension. We propose estimating each class covariance matrix as a…

This article carries out a large dimensional analysis of standard regularized discriminant analysis classifiers designed on the assumption that data arise from a Gaussian mixture model with different means and covariances. The analysis…

In this paper, we propose a novel variable selection approach in the framework of multivariate linear models taking into account the dependence that may exist between the responses. It consists in estimating beforehand the covariance matrix…

The $\ell_1$-penalized method, or the Lasso, has emerged as an important tool for the analysis of large data sets. Many important results have been obtained for the Lasso in linear regression which have led to a deeper understanding of…

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…

This paper studies a Dantzig-selector type regularized estimator for linear functionals of high-dimensional linear processes. Explicit rates of convergence of the proposed estimator are obtained and they cover the broad regime from i.i.d.…

We consider nonlinear mixed effects models including high-dimensional covariates to model individual parameters variability. The objective is to identify relevant covariates among a large set under sparsity assumption and to estimate model…

We consider the problem of fitting the parameters of a high-dimensional linear regression model. In the regime where the number of parameters $p$ is comparable to or exceeds the sample size $n$, a successful approach uses an…

Suppose that we observe $y \in \mathbb{R}^n$ and $X \in \mathbb{R}^{n \times m}$ in the following errors-in-variables model: \begin{eqnarray*} y & = & X_0 \beta^* +\epsilon \\ X & = & X_0 + W, \end{eqnarray*} where $X_0$ is an $n \times m$…

Given $n$ noisy samples with $p$ dimensions, where $n \ll p$, we show that the multi-step thresholding procedure based on the Lasso -- we call it the {\it Thresholded Lasso}, can accurately estimate a sparse vector $\beta \in {\mathbb R}^p$…

Although a majority of the theoretical literature in high-dimensional statistics has focused on settings which involve fully-observed data, settings with missing values and corruptions are common in practice. We consider the problems of…

The lasso is a popular tool for sparse linear regression, especially for problems in which the number of variables p exceeds the number of observations n. But when p>n, the lasso criterion is not strictly convex, and hence it may not have a…