Related papers: Inference in partially identified models with many…

Growth in both size and complexity of modern data challenges the applicability of traditional likelihood-based inference. Composite likelihood (CL) methods address the difficulties related to model selection and computational intractability…

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with…

This paper proposes a simple unified inference approach on moment restrictions in the presence of nuisance parameters. The proposed test is constructed based on a new characterization that avoids the estimation of nuisance parameters and…

A new estimation method for the two-component mixture model introduced in \cite{Van13} is proposed. This model consists of a two-component mixture of linear regressions in which one component is entirely known while the proportion, the…

This paper extends three Lasso inferential methods, Debiased Lasso, $C(\alpha)$ and Selective Inference to a survey environment. We establish the asymptotic validity of the inference procedures in generalized linear models with survey…

We propose a computationally intensive method, the random lasso method, for variable selection in linear models. The method consists of two major steps. In step 1, the lasso method is applied to many bootstrap samples, each using a set of…

Due to its low computational cost, Lasso is an attractive regularization method for high-dimensional statistical settings. In this paper, we consider multivariate counting processes depending on an unknown function parameter to be estimated…

We propose and implement an approach to inference in linear instrumental variables models which is simultaneously robust and computationally tractable. Inference is based on self-normalization of sample moment conditions, and allows for…

The Cox proportional hazards model is widely used in survival analysis to model time-to-event data. However, it faces significant computational challenges in the era of large-scale data, particularly when dealing with time-dependent…

We propose a pointwise inference algorithm for high-dimensional linear models with time-varying coefficients. The method is based on a novel combination of the nonparametric kernel smoothing technique and a Lasso bias-corrected ridge…

This paper investigates the two-step estimation of a high dimensional additive regression model, in which the number of nonparametric additive components is potentially larger than the sample size but the number of significant additive…

The paper considers a linear regression model with multiple change-points occurring at unknown times. The LASSO technique is very interesting since it allows the parametric estimation, including the change-points, and automatic variable…

Panel data allows for the modeling of unobserved heterogeneity, significantly raising the number of nuisance parameters and making high dimensionality a practical issue. Meanwhile, temporal and cross-sectional dependence in panel data…

The maximum likelihood estimation is computationally demanding for large datasets, particularly when the likelihood function includes integrals. Subsampling can reduce the computational burden, but it often results in efficiency loss.This…

We propose a distributed method for simultaneous inference for datasets with sample size much larger than the number of covariates, i.e., N >> p, in the generalized linear models framework. When such datasets are too big to be analyzed…

We propose a two-step procedure to detect cointegration in high-dimensional settings, focusing on sparse relationships. First, we use the adaptive LASSO to identify the small subset of integrated covariates driving the equilibrium…

In this article, we develop a semiparametric Bayesian estimation and model selection approach for partially linear additive models in conditional quantile regression. The asymmetric Laplace distribution provides a mechanism for Bayesian…

Variable selection is one of the most important tasks in statistics and machine learning. To incorporate more prior information about the regression coefficients, the constrained Lasso model has been proposed in the literature. In this…

In applied time-to-event analysis, a flexible parametric approach is to model the hazard rate as a piecewise constant function of time. However, the change points and values of the piecewise constant hazard are usually unknown and need to…

Lasso is a celebrated method for variable selection in linear models, but it faces challenges when the variables are moderately or strongly correlated. This motivates alternative approaches such as using a non-convex penalty, adding a ridge…