Related papers: High Dimensional Inference in Partially Linear Mod…
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…
This paper is concerned with inference on the regression function of a high-dimensional linear model when outcomes are missing at random. We propose an estimator which combines a Lasso pilot estimate of the regression function with a bias…
We propose a likelihood ratio based inferential framework for high dimensional semiparametric generalized linear models. This framework addresses a variety of challenging problems in high dimensional data analysis, including incomplete…
Testing independence is of significant interest in many important areas of large-scale inference. Using extreme-value form statistics to test against sparse alternatives and using quadratic form statistics to test against dense alternatives…
We propose a new measure of variable importance in high-dimensional regression based on the change in the LASSO solution path when one covariate is left out. The proposed procedure provides a novel way to calculate variable importance and…
Conditional selective inference (SI) has been studied intensively as a new statistical inference framework for data-driven hypotheses. The basic concept of conditional SI is to make the inference conditional on the selection event, which…
In this paper, we study the detection boundary for minimax hypothesis testing in the context of high-dimensional, sparse binary regression models. Motivated by genetic sequencing association studies for rare variant effects, we investigate…
Simultaneous inference for high-dimensional non-Gaussian time series is always considered to be a challenging problem. Such tasks require not only robust estimation of the coefficients in the random process, but also deriving limiting…
Sparse linear regression with ill-conditioned Gaussian random designs is widely believed to exhibit a statistical/computational gap, but there is surprisingly little formal evidence for this belief, even in the form of examples that are…
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…
Constructing confidence intervals for the coefficients of high-dimensional sparse linear models remains a challenge, mainly because of the complicated limiting distributions of the widely used estimators, such as the lasso. Several methods…
We derive expressions for the finite-sample distribution of the Lasso estimator in the context of a linear regression model in low as well as in high dimensions by exploiting the structure of the optimization problem defining the estimator.…
This paper is concerned with estimation and inference for ultrahigh dimensional partially linear single-index models. The presence of high dimensional nuisance parameter and nuisance unknown function makes the estimation and inference…
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 time series datasets are becoming increasingly common in many areas of biological and social sciences. Some important applications include gene regulatory network reconstruction using time course gene expression data, brain…
We present a hierarchical Bayesian learning approach to infer jointly sparse parameter vectors from multiple measurement vectors. Our model uses separate conditionally Gaussian priors for each parameter vector and common gamma-distributed…
Partial linear models have been widely used as flexible method for modelling linear components in conjunction with non-parametric ones. Despite the presence of the non-parametric part, the linear, parametric part can under certain…
We present a new class of methods for high-dimensional nonparametric regression and classification called sparse additive models (SpAM). Our methods combine ideas from sparse linear modeling and additive nonparametric regression. We derive…
The method of instrumental variables provides a fundamental and practical tool for causal inference in many empirical studies where unmeasured confounding between the treatments and the outcome is present. Modern data such as the genetical…
Sparse modeling is a powerful framework for data analysis and processing. Traditionally, encoding in this framework is performed by solving an L1-regularized linear regression problem, commonly referred to as Lasso or Basis Pursuit. In this…