Related papers: On Lasso refitting strategies
Propensity score methods are widely used for estimating treatment effects from observational studies. A popular approach is to estimate propensity scores by maximum likelihood based on logistic regression, and then apply inverse probability…
This paper presents a comprehensive exploration of the theoretical properties inherent in the Adaptive Lasso and the Transfer Lasso. The Adaptive Lasso, a well-established method, employs regularization divided by initial estimators and is…
Spatial econometric research typically relies on the assumption that the spatial dependence structure is known in advance and is represented by a deterministic spatial weights matrix. Contrary to classical approaches, we investigate the…
Boosting is a learning scheme that combines weak prediction rules to produce a strong composite estimator, with the underlying intuition that one can obtain accurate prediction rules by combining "rough" ones. Although boosting is proved to…
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…
In this paper, we recover sparse signals from their noisy linear measurements by solving nonlinear differential inclusions, which is based on the notion of inverse scale space (ISS) developed in applied mathematics. Our goal here is to…
Penalized least squares estimation is a popular technique in high-dimensional statistics. It includes such methods as the LASSO, the group LASSO, and the nuclear norm penalized least squares. The existing theory of these methods is not…
This paper proposes a Lasso-type estimator for a high-dimensional sparse parameter identified by a single index conditional moment restriction (CMR). In addition to this parameter, the moment function can also depend on a nuisance function,…
Fine-tuning is a widely used strategy for adapting pre-trained models to new tasks, yet its methodology and theoretical properties in high-dimensional nonparametric settings with variable selection have not yet been developed. We propose a…
Zero-inflated explanatory variables are common in fields such as ecology and finance. In this paper we address the problem of having excess of zero values in some explanatory variables which are subject to multioutcome lasso-regularized…
We develop results for the use of Lasso and Post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, $p$. Our results apply even when $p$ is much…
We consider the most common variants of linear regression, including Ridge, Lasso and Support-vector regression, in a setting where the learner is allowed to observe only a fixed number of attributes of each example at training time. We…
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…
Sparse reconstruction approaches using the re-weighted l1-penalty have been shown, both empirically and theoretically, to provide a significant improvement in recovering sparse signals in comparison to the l1-relaxation. However, numerical…
Augmenting a smooth cost function with an $\ell_1$ penalty allows analysts to efficiently conduct estimation and variable selection simultaneously in sophisticated models and can be efficiently implemented using proximal gradient methods.…
In the context of multiple regression model, suppose that the vector parameter of interest \beta is subjected to lie in the subspace hypothesis H\beta = h, where this restriction is based on either additional information or prior knowledge.…
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…
When developing risk prediction models, shrinkage methods are recommended, especially when the sample size is limited. Several earlier studies have shown that the shrinkage of model coefficients can reduce overfitting of the prediction…
Gradient boosting algorithms construct a regression predictor using a linear combination of ``base learners''. Boosting also offers an approach to obtaining robust non-parametric regression estimators that are scalable to applications with…
An l0-regularized linear regression for a sparse signal reconstruction is implemented based on the quadratic unconstrained binary optimization (QUBO) formulation. In this method, the signal values are quantized and expressed as bit…