Related papers: Sparse Sliced Inverse Regression Via Lasso
The least-absolute shrinkage and selection operator (LASSO) is a regularization technique for estimating sparse signals of interest emerging in various applications and can be efficiently solved via the alternating direction method of…
Recently, tensor data (or multidimensional array) have been generated in many modern applications, such as functional magnetic resonance imaging (fMRI) in neuroscience and videos in video analysis. Many efforts are made in recent years to…
We examine the rate of convergence of the Lasso estimator of lower dimensional components of the high-dimensional parameter. Under bounds on the $\ell_1$-norm on the worst possible sub-direction these rates are of order $\sqrt {|J| \log p /…
In this article we investigate consistency of selection in regression models via the popular Lasso method. Here we depart from the traditional linear regression assumption and consider approximations of the regression function $f$ with…
We compute approximate solutions to L0 regularized linear regression using L1 regularization, also known as the Lasso, as an initialization step. Our algorithm, the Lass-0 ("Lass-zero"), uses a computationally efficient stepwise search to…
This study proposes sparse estimation methods for the generalized linear models, which run one of least angle regression (LARS) and least absolute shrinkage and selection operator (LASSO) in the tangent space of the manifold of the…
Many high-dimensional online decision-making problems can be modeled as stochastic sparse linear bandits. Most existing algorithms are designed to achieve optimal worst-case regret in either the data-rich regime, where polynomial dependence…
In this paper, we develop a new sequential regression modeling approach for data streams. Data streams are commonly found around us, e.g in a retail enterprise sales data is continuously collected every day. A demand forecasting model is an…
Sparse regression has been a popular approach to perform variable selection and enhance the prediction accuracy and interpretability of the resulting statistical model. Existing approaches focus on offline regularized regression, while the…
Sparse linear regression is a vast field and there are many different algorithms available to build models. Two new papers published in Statistical Science study the comparative performance of several sparse regression methodologies,…
In multiple domains, statistical tasks are performed in distributed settings, with data split among several end machines that are connected to a fusion center. In various applications, the end machines have limited bandwidth and power, and…
Over the past years, there are increasing interests in recovering the signals from undersampling data where such signals are sparse under some orthogonal dictionary or tight framework, which is referred to be sparse synthetic model. More…
In this paper, we consider a compressed sensing problem of reconstructing a sparse signal from an undersampled set of noisy linear measurements. The regularized least squares or least absolute shrinkage and selection operator (LASSO)…
We consider the following signal recovery problem: given a measurement matrix $\Phi\in \mathbb{R}^{n\times p}$ and a noisy observation vector $c\in \mathbb{R}^{n}$ constructed from $c = \Phi\theta^* + \epsilon$ where $\epsilon\in…
In this paper, the estimation problem for sparse reduced rank regression (SRRR) model is considered. The SRRR model is widely used for dimension reduction and variable selection with applications in signal processing, econometrics, etc. The…
Estimation of a sparse spectral precision matrix, the inverse of a spectral density matrix, is a canonical problem in frequency-domain analysis of high-dimensional time series (HDTS), with applications in neurosciences and environmental…
Recent results have proven the minimax optimality of LASSO and related algorithms for noisy linear regression. However, these results tend to rely on variance estimators that are inefficient or optimizations that are slower than LASSO…
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 consider the least-square linear regression problem with regularization by the $\ell^1$-norm, a problem usually referred to as the Lasso. In this paper, we first present a detailed asymptotic analysis of model consistency of the Lasso in…
We address the problem of robust sparse estimation of the precision matrix for heavy-tailed distributions in high-dimensional settings. In such high-dimensional contexts, we observe that the covariance matrix can be approximated by a…