Related papers: Macroeconomic Forecasting and Variable Selection w…

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…

We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of…

Penalized likelihood approaches are widely used for high-dimensional regression. Although many methods have been proposed and the associated theory is now well-developed, the relative efficacy of different approaches in finite-sample…

A new method is proposed for variable screening, variable selection and prediction in linear regression problems where the number of predictors can be much larger than the number of observations. The method involves minimizing a penalized…

We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are It\^o semimartingales with jumps. The coefficient paths are…

Penalized likelihood methods are fundamental to ultra-high dimensional variable selection. How high dimensionality such methods can handle remains largely unknown. In this paper, we show that in the context of generalized linear models,…

Penalized regression methods are an attractive tool for high-dimensional data analysis, but their widespread adoption has been hampered by the difficulty of applying inferential tools. In particular, the question "How reliable is the…

The standard quantile regression model assumes a linear relationship at the quantile of interest and that all variables are observed. We relax these assumptions by considering a partial linear model while allowing for missing linear…

We propose a sparse regression method based on the non-concave penalized density power divergence loss function which is robust against infinitesimal contamination in very high dimensionality. Present methods of sparse and robust regression…

In genetic studies, not only can the number of predictors obtained from microarray measurements be extremely large, there can also be multiple response variables. Motivated by such a situation, we consider semiparametric dimension reduction…

In high-dimensional model selection problems, penalized simple least-square approaches have been extensively used. This paper addresses the question of both robustness and efficiency of penalized model selection methods, and proposes a…

Mixed-effect models are very popular for analyzing data with a hierarchical structure, e.g. repeated observations within subjects in a longitudinal design, patients nested within centers in a multicenter design. However, recently, due to…

We develop a set of variable selection methods for the Cox model under interval censoring, in the ultra-high dimensional setting where the dimensionality can grow exponentially with the sample size. The methods select covariates via a…

High-dimensional sparse modeling via regularization provides a powerful tool for analyzing large-scale data sets and obtaining meaningful, interpretable models. The use of nonconvex penalty functions shows advantage in selecting important…

We consider the problem of simultaneous variable selection and estimation in partially linear models with a divergent number of covariates in the linear part, under the assumption that the vector of regression coefficients is sparse. We…

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…

In the data-rich environment, using many economic predictors to forecast a few key variables has become a new trend in econometrics. The commonly used approach is factor augment (FA) approach. In this paper, we pursue another direction,…

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…

Parameter estimation and the variable selection are two pioneer issues in regression analysis. While traditional variable selection methods require prior estimation of the model parameters, the penalized methods simultaneously carry on…

In the causal adjustment setting, variable selection techniques based on one of either the outcome or treatment allocation model can result in the omission of confounders, which leads to bias, or the inclusion of spurious variables, which…