Related papers: Ill-posed Estimation in High-Dimensional Models wi…
In high-dimensions, many variable selection methods, such as the lasso, are often limited by excessive variability and rank deficiency of the sample covariance matrix. Covariance sparsity is a natural phenomenon in high-dimensional…
The Lasso is a prominent algorithm for variable selection. However, its instability in the presence of correlated variables in the high-dimensional setting is well-documented. Although previous research has attempted to address this issue…
We consider the problem of robustifying high-dimensional structured estimation. Robust techniques are key in real-world applications which often involve outliers and data corruption. We focus on trimmed versions of structurally regularized…
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the…
There has been much recent work on inference after model selection when the noise level is known, however, $\sigma$ is rarely known in practice and its estimation is difficult in high-dimensional settings. In this work we propose using the…
We study the asymptotic properties of the adaptive Lasso in cointegration regressions in the case where all covariates are weakly exogenous. We assume the number of candidate I(1) variables is sub-linear with respect to the sample size (but…
In this paper we revisit the risk bounds of the lasso estimator in the context of transductive and semi-supervised learning. In other terms, the setting under consideration is that of regression with random design under partial labeling.…
We consider the problem of estimating the support of a vector $\beta^* \in \mathbb{R}^{p}$ based on observations contaminated by noise. A significant body of work has studied behavior of $\ell_1$-relaxations when applied to measurement…
This paper proposes a bootstrap-assisted procedure to conduct simultaneous inference for high dimensional sparse linear models based on the recent de-sparsifying Lasso estimator (van de Geer et al. 2014). Our procedure allows the dimension…
High-throughput characterization often requires estimating parameters and model dimension from experimental data of limited quantity and quality. Such data may result in an ill-posed inverse problem, where multiple sets of parameters and…
The aim of this paper is to provide a comprehensive introduction for the study of L1-penalized estimators in the context of dependent observations. We define a general $\ell_{1}$-penalized estimator for solving problems of stochastic…
This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the…
Expected shortfall is defined as the average over the tail below (or above) a certain quantile of a probability distribution. Expected shortfall regression provides powerful tools for learning the relationship between a response variable…
In this paper, we propose a novel variable selection approach in the framework of multivariate linear models taking into account the dependence that may exist between the responses. It consists in estimating beforehand the covariance matrix…
By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO techniques, we develop a penalized minimum distance…
In this paper, we propose a triple (or double-debiased) Lasso estimator for inference on a low-dimensional parameter in high-dimensional linear regression models. The estimator is based on a moment function that satisfies not only first-…
The paper proposes a new covariance estimator for large covariance matrices when the variables have a natural ordering. Using the Cholesky decomposition of the inverse, we impose a banded structure on the Cholesky factor, and select the…
We consider the problem of simultaneous variable selection and constant coefficient identification in high-dimensional varying coefficient models based on B-spline basis expansion. Both objectives can be considered as some type of model…
This paper studies the statistical properties of the group Lasso estimator for high dimensional sparse quantile regression models where the number of explanatory variables (or the number of groups of explanatory variables) is possibly much…
This paper proposes a multi-stage projection-based Lasso procedure for the semiparametric sample selection model in high-dimensional settings under a weak nonparametric restriction on the selection correction. In particular, the number of…