Related papers: Penalized Likelihood Estimation in High-Dimensiona…
This paper considers the problem of networks reconstruction from heterogeneous data using a Gaussian Graphical Mixture Model (GGMM). It is well known that parameter estimation in this context is challenging due to large numbers of variables…
The Ising model is a useful tool for studying complex interactions within a system. The estimation of such a model, however, is rather challenging, especially in the presence of high-dimensional parameters. In this work, we propose…
We propose a new method to estimate structural parameters in multi-way networks while controlling for rich structures of fixed effects. The method is based on a series of classification tasks and is agnostic to both the number and structure…
A Vector Auto-Regressive (VAR) model is commonly used to model multivariate time series, and there are many penalized methods to handle high dimensionality. However in terms of spatio-temporal data, most methods do not take the spatial and…
In this article, we consider the parameter estimation of regression model with pth order autoregressive (AR(p)) error term. We use the Maximum Lq-likelihood (MLq) estimation method that is proposed by Ferrari and Yang (2010a), as a robust…
Variable selection methods are required in practical statistical modeling, to identify and include only the most relevant predictors, and then improving model interpretability. Such variable selection methods are typically employed in…
We derive asymptotic properties of penalized estimators for singular models for which identifiability may break and the true parameter values can lie on the boundary of the parameter space. Selection consistency of the estimators is also…
Parameter estimation connects mathematical models to real-world data and decision making across many scientific and industrial applications. Standard approaches such as maximum likelihood estimation and Markov chain Monte Carlo estimate…
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…
How best to model structurally heterogeneous processes is a foundational question in the social, health and behavioral sciences. Recently, Fisher et al., (2022) introduced the multi-VAR approach for simultaneously estimating…
We propose a new estimator for the high-dimensional linear regression model with observation error in the design where the number of coefficients is potentially larger than the sample size. The main novelty of our procedure is that the…
Partial penalized tests provide flexible approaches to testing linear hypotheses in high dimensional generalized linear models. However, because the estimators used in these tests are local minimizers of potentially non-convex…
In this paper, we mainly focus on the penalized maximum likelihood estimation (MLE) of the high-dimensional approximate factor model. Since the current estimation procedure can not guarantee the positive definiteness of the error covariance…
Sparse covariance matrices play crucial roles by encoding the interdependencies between variables in numerous fields such as genetics and neuroscience. Despite substantial studies on sparse covariance matrices, existing methods face several…
Penalized quantile regression (QR) is widely used for studying the relationship between a response variable and a set of predictors under data heterogeneity in high-dimensional settings. Compared to penalized least squares, scalable…
We proposed a new penalized method in this paper to solve sparse Poisson Regression problems. Being different from $\ell_1$ penalized log-likelihood estimation, our new method can be viewed as penalized weighted score function method. We…
We propose a nonparametric method for detecting nonlinear causal relationship within a set of multidimensional discrete time series, by using sparse additive models (SpAMs). We show that, when the input to the SpAM is a $\beta$-mixing time…
We propose a nonparametric quantile regression method using deep neural networks with a rectified linear unit penalty function to avoid quantile crossing. This penalty function is computationally feasible for enforcing non-crossing…
We study the large sample properties of sparse M-estimators in the presence of pseudo-observations. Our framework covers a broad class of semi-parametric copula models, for which the marginal distributions are unknown and replaced by their…
We give oracle inequalities on procedures which combines quantization and variable selection via a weighted Lasso $k$-means type algorithm. The results are derived for a general family of weights, which can be tuned to size the influence of…