Related papers: Sparse Nonlinear Regression: Parameter Estimation …

We consider support recovery in the quadratic logistic regression setting - where the target depends on both p linear terms $x_i$ and up to $p^2$ quadratic terms $x_i x_j$. Quadratic terms enable prediction/modeling of higher-order effects…

Many regularization schemes for high-dimensional regression have been put forward. Most require the choice of a tuning parameter, using model selection criteria or cross-validation schemes. We show that a simple non-negative or…

We consider the fundamental problem of estimating the mean of a vector $y=X\beta+z$, where $X$ is an $n\times p$ design matrix in which one can have far more variables than observations, and $z$ is a stochastic error term--the so-called…

We consider a sparse linear regression model Y=X\beta^{*}+W where X has a Gaussian entries, W is the noise vector with mean zero Gaussian entries, and \beta^{*} is a binary vector with support size (sparsity) k. Using a novel conditional…

We propose a nonconvex estimator for joint multivariate regression and precision matrix estimation in the high dimensional regime, under sparsity constraints. A gradient descent algorithm with hard thresholding is developed to solve the…

A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…

The least trimmed squares (LTS) estimator is a renowned robust alternative to the classic least squares estimator and is popular in location, regression, machine learning, and AI literature. Many studies exist on LTS, including its…

This paper addresses the problem of sparsity penalized least squares for applications in sparse signal processing, e.g. sparse deconvolution. This paper aims to induce sparsity more strongly than L1 norm regularization, while avoiding…

We consider estimation and inference in a single index regression model with an unknown but smooth link function. In contrast to the standard approach of using kernels or regression splines, we use smoothing splines to estimate the smooth…

Sparse linear regression is a central problem in high-dimensional statistics. We study the correlated random design setting, where the covariates are drawn from a multivariate Gaussian $N(0,\Sigma)$, and we seek an estimator with small…

Sparse learning is an important topic in many areas such as machine learning, statistical estimation, signal processing, etc. Recently, there emerges a growing interest on structured sparse learning. In this paper we focus on the…

We study sparse linear regression over a network of agents, modeled as an undirected graph (with no centralized node). The estimation problem is formulated as the minimization of the sum of the local LASSO loss functions plus a quadratic…

This paper develops an approach to inference in a linear regression model when the number of potential explanatory variables is larger than the sample size. The approach treats each regression coefficient in turn as the interest parameter,…

We study sparse group Lasso for high-dimensional double sparse linear regression, where the parameter of interest is simultaneously element-wise and group-wise sparse. This problem is an important instance of the simultaneously structured…

We propose a formulation for nonlinear recurrent models that includes simple parametric models of recurrent neural networks as a special case. The proposed formulation leads to a natural estimator in the form of a convex program. We provide…

Suppose that we observe independent random pairs $(X_1,Y_1)$, $(X_2,Y_2)$, >..., $(X_n,Y_n)$. Our goal is to estimate regression functions such as the conditional mean or $\beta$--quantile of $Y$ given $X$, where $0<\beta <1$. In order to…

For data segmentation in high-dimensional linear regression settings, the regression parameters are often assumed to be sparse segment-wise, which enables many existing methods to estimate the parameters locally via $\ell_1$-regularised…

We consider the sparse high-dimensional linear regression model $Y=Xb+\epsilon$ where $b$ is a sparse vector. For the Bayesian approach to this problem, many authors have considered the behavior of the posterior distribution when, in truth,…

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…

We present a sparse analogue to stochastic gradient descent that is guaranteed to perform well under similar conditions to the lasso. In the linear regression setup with irrepresentable noise features, our algorithm recovers the support set…