Related papers: An algorithm for the multivariate group lasso with…
Lasso-type estimators are routinely used to estimate high-dimensional time series models. The theoretical guarantees established for these estimators typically require the penalty level to be chosen in a suitable fashion often depending on…
This paper contributes to the literature on treatment effects estimation with machine learning inspired methods by studying the performance of different estimators based on the Lasso. Building on recent work in the field of high-dimensional…
We consider the problem of estimating and inferring treatment effects in randomized experiments. In practice, stratified randomization, or more generally, covariate-adaptive randomization, is routinely used in the design stage to balance…
The sparse group lasso is a high-dimensional regression technique that is useful for problems whose predictors have a naturally grouped structure and where sparsity is encouraged at both the group and individual predictor level. In this…
In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and error process, allowing for fatter tails in their…
We consider the problem of estimating sparse graphs by a lasso penalty applied to the inverse covariance matrix. Using a coordinate descent procedure for the lasso, we develop a simple algorithm that is remarkably fast: in the worst cases,…
We propose the Bayesian adaptive Lasso (BaLasso) for variable selection and coefficient estimation in linear regression. The BaLasso is adaptive to the signal level by adopting different shrinkage for different coefficients. Furthermore, we…
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…
In additive models with many nonparametric components, a number of regularized estimators have been proposed and proven to attain various error bounds under different combinations of sparsity and fixed smoothness conditions. Some of these…
This paper studies high-dimensional regression models with lasso when data is sampled under multi-way clustering. First, we establish convergence rates for the lasso and post-lasso estimators. Second, we propose a novel inference method…
High-dimensional regression often suffers from heavy-tailed noise and outliers, which can severely undermine the reliability of least-squares based methods. To improve robustness, we adopt a non-smooth Wilcoxon score based rank objective…
High dimensional Poisson regression has become a standard framework for the analysis of massive counts datasets. In this work we estimate the intensity function of the Poisson regression model by using a dictionary approach, which…
Deep networks are increasingly applied to a wide variety of data, including data with high-dimensional predictors. In such analysis, variable selection can be needed along with estimation/model building. Many of the existing deep network…
We consider the problems of variable selection and estimation in nonparametric additive regression models for high-dimensional data. In recent years, several methods have been proposed to model nonlinear relationships when the number of…
We study an $\ell_{1}$-regularized generalized least-squares (GLS) estimator for high-dimensional regressions with autocorrelated errors. Specifically, we consider the case where errors are assumed to follow an autoregressive process,…
We propose generalized additive partial linear models for complex data which allow one to capture nonlinear patterns of some covariates, in the presence of linear components. The proposed method improves estimation efficiency and increases…
We propose a modified version of the three-step estimation method for the latent class model with covariates, which may be used to estimate latent Markov models for longitudinal data. The three-step estimation approach we propose is based…
We propose a class of robust estimates for multivariate linear models. Based on the approach of MM estimation (Yohai 1987), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have…
We consider a graphical model where a multivariate normal vector is associated with each node of the underlying graph and estimate the graphical structure. We minimize a loss function obtained by regressing the vector at each node on those…
Given data $y$ and $k$ covariates $x$ one problem in linear regression is to decide which in any of the covariates to include when regressing $y$ on the $x$. If $k$ is small it is possible to evaluate each subset of the $x$. If however $k$…