Related papers: Joint Estimation of Precision Matrices in Heteroge…
Heterogeneous data are now ubiquitous in many applications in which correctly identifying the subgroups from a heterogeneous population is critical. Although there is an increasing body of literature on subgroup detection, existing methods…
We develop a method for estimating well-conditioned and sparse covariance and inverse covariance matrices from a sample of vectors drawn from a sub-gaussian distribution in high dimensional setting. The proposed estimators are obtained by…
In this paper we propose a heterogeneous modeling framework which achieves individual-wise feature selection and individualized covariates' effects subgrouping simultaneously. In contrast to conventional model selection approaches, the new…
We consider a Bayesian framework for estimating a high-dimensional sparse precision matrix, in which adaptive shrinkage and sparsity are induced by a mixture of Laplace priors. Besides discussing our formulation from the Bayesian…
A common assumption when sampling $p$-dimensional observations from $K$ distinct group is the equality of the covariance matrices. In this paper, we propose two penalized $M$-estimation approaches for the estimation of the covariance or…
In this paper, we investigate the problem of estimating a complex-valued Laplacian matrix with a focus on its application in the estimation of admittance matrices in power systems. The proposed approach is based on a constrained maximum…
We propose a penalized likelihood framework for estimating multiple precision matrices from different classes. Most existing methods either incorporate no information on relationships between the precision matrices, or require this…
Community detection is an important problem in unsupervised learning. This paper proposes to solve a projection matrix approximation problem with an additional entrywise bounded constraint. Algorithmically, we introduce a new differentiable…
Efficient estimation of high-dimensional matrices-including covariance and precision matrices-is a cornerstone of modern multivariate statistics. Most existing studies have focused primarily on the theoretical properties of the estimators…
We consider the joint estimation of change point locations and the sparsity pattern of the variance covariance matrix, which is assumed to evolve in a piecewise constant manner. By applying Group Fused LASSO and LASSO penalties to the…
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…
This work presents a new method for online selection of multiple penalty parameters for the alternating direction method of multipliers (ADMM) algorithm applied to optimization problems with multiple constraints or functionals with block…
Healthcare cost prediction is a challenging task due to the high-dimensionality and high correlation among covariates. Additionally, the skewed, heavy-tailed, and often multi-modal nature of cost data can complicate matters further due to…
This work addresses the issue of large covariance matrix estimation in high-dimensional statistical analysis. Recently, improved iterative algorithms with positive-definite guarantee have been developed. However, these algorithms cannot be…
The paper proposes a method for constructing a sparse estimator for the inverse covariance (concentration) matrix in high-dimensional settings. The estimator uses a penalized normal likelihood approach and forces sparsity by using a…
Mixed membership community detection is a challenging problem. In this paper, to detect mixed memberships, we propose a new method Mixed-SLIM which is a spectral clustering method on the symmetrized Laplacian inverse matrix under the…
Heterogeneous panel data models that allow the coefficients to vary across individuals and/or change over time have received increasingly more attention in statistics and econometrics. This paper proposes a two-dimensional heterogeneous…
Covariance matrix estimation is a fundamental statistical task in many applications, but the sample covariance matrix is sub-optimal when the sample size is comparable to or less than the number of features. Such high-dimensional settings…
Nonconvex and structured optimization problems arise in many engineering applications that demand scalable and distributed solution methods. The study of the convergence properties of these methods is in general difficult due to the…
The alternating direction method of multipliers (ADMM) has been widely adopted in low-rank approximation and low-order model identification tasks; however, the performance of nonconvex ADMM is highly reliant on the choice of penalty…