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This paper proposes a method to automatically construct or estimate Neyman-orthogonal moments in general models defined by a finite number of conditional moment restrictions (CMRs), with possibly different conditioning variables and…
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-…
In high dimension, it is customary to consider Lasso-type estimators to enforce sparsity. For standard Lasso theory to hold, the regularization parameter should be proportional to the noise level, yet the latter is generally unknown in…
We propose the orthogonal random forest, an algorithm that combines Neyman-orthogonality to reduce sensitivity with respect to estimation error of nuisance parameters with generalized random forests (Athey et al., 2017)--a flexible…
Popular sparse estimation methods based on $\ell_1$-relaxation, such as the Lasso and the Dantzig selector, require the knowledge of the variance of the noise in order to properly tune the regularization parameter. This constitutes a major…
In additive models with many nonparametric components, a number of regularized estimators have been proposed and proven to attain various error bounds under different combinations of sparsity and fixed smoothness conditions. Some of these…
The Lasso is a computationally efficient regression regularization procedure that can produce sparse estimators when the number of predictors (p) is large. Oracle inequalities provide probability loss bounds for the Lasso estimator at a…
We consider model selection and estimation for partial spline models and propose a new regularization method in the context of smoothing splines. The regularization method has a simple yet elegant form, consisting of roughness penalty on…
We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects…
The Lasso has become a benchmark data analysis procedure, and numerous variants have been proposed in the literature. Although the Lasso formulations are stated so that overall prediction error is optimized, no full control over the…
I propose a locally robust semiparametric framework for estimating causal effects using the popular examiner IV design, in the presence of many examiners and possibly many covariates relative to the sample size. The key ingredient of this…
We develop an estimator for treatment effects in high-dimensional settings with additive measurement error, a prevalent challenge in modern econometrics. We introduce the Double/Debiased Convex Conditioned LASSO (Double/Debiased CoCoLASSO),…
This paper analyzes a new regularized learning scheme for high dimensional partially linear support vector machine. The proposed approach consists of an empirical risk and the Lasso-type penalty for linear part, as well as the standard…
Sparse linear models are one of several core tools for interpretable machine learning, a field of emerging importance as predictive models permeate decision-making in many domains. Unfortunately, sparse linear models are far less flexible…
We propose double/debiased machine learning approaches to infer (at the parametric rate) the parametric component of a logistic partially linear model with the binary response following a conditional logistic model of a low dimensional…
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…
There has been considerable advance in understanding the properties of sparse regularization procedures in high-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study…
Within the statistical and machine learning literature, regularization techniques are often used to construct sparse (predictive) models. Most regularization strategies only work for data where all predictors are treated identically, such…
Sparsity promoting norms are frequently used in high dimensional regression. A limitation of such Lasso-type estimators is that the optimal regularization parameter depends on the unknown noise level. Estimators such as the concomitant…
Many problems in signal processing require finding sparse solutions to under-determined, or ill-conditioned, linear systems of equations. When dealing with real-world data, the presence of outliers and impulsive noise must also be accounted…