Related papers: $\ell_0$-Regularized High-dimensional Accelerated …

We improve upon the two-stage sparse vector autoregression (sVAR) method in Davis et al. (2016) by proposing an alternative two-stage modified sVAR method which relies on time series graphical lasso to estimate sparse inverse spectral…

We propose LSDAT, an image-agnostic decision-based black-box attack that exploits low-rank and sparse decomposition (LSD) to dramatically reduce the number of queries and achieve superior fooling rates compared to the state-of-the-art…

In large-scale epidemiological studies, statistical inference is often complicated by high-dimensional covariates under stratified sampling designs for failure times. Variable selection methods developed for full cohort data do not extend…

In this paper we discuss an application of Stochastic Approximation to statistical estimation of high-dimensional sparse parameters. The proposed solution reduces to resolving a penalized stochastic optimization problem on each stage of a…

Assuming stationarity is unrealistic in many time series applications. A more realistic alternative is to allow for piecewise stationarity, where the model is allowed to change at given time points. We propose a three-stage procedure for…

We consider the problem of multivariate regression in a setting where the relevant predictors could be shared among different responses. We propose an algorithm which decomposes the coefficient matrix into the product of a long matrix and a…

We consider the problem of automatic variable selection in a linear model with asymmetric or heavy-tailed errors when the number of explanatory variables diverges with the sample size. For this high-dimensional model, the penalized least…

Detection limits are common in biomedical and environmental studies, where key covariates or outcomes are censored below an assay-specific threshold. Standard approaches such as complete-case analysis, single-value substitution, and…

This paper provides a comprehensive estimation framework via nuclear norm plus $l_1$ norm penalization for high-dimensional approximate factor models with a sparse residual covariance. The underlying assumptions allow for non-pervasive…

Many popular statistical models, such as factor and random effects models, give arise a certain type of covariance structures that is a summation of low rank and sparse matrices. This paper introduces a penalized approximation framework to…

Sparse learning is ubiquitous in many machine learning tasks. It aims to regularize the goodness-of-fit objective by adding a penalty term to encode structural constraints on the model parameters. In this paper, we develop a flexible sparse…

We consider the problem of estimation of a covariance matrix for Gaussian data in a high dimensional setting. Existing approaches include maximum likelihood estimation under a pre-specified sparsity pattern, l_1-penalized loglikelihood…

We solve the analysis sparse coding problem considering a combination of convex and non-convex sparsity promoting penalties. The multi-penalty formulation results in an iterative algorithm involving proximal-averaging. We then unfold the…

We propose a sparse coefficient estimation and automated model selection procedure for autoregressive (AR) processes with heavy-tailed innovations based on penalized conditional maximum likelihood. Under mild moment conditions on the…

Post-training of large language models involves a fundamental trade-off between supervised fine-tuning (SFT), which efficiently mimics demonstrations but tends to memorize, and reinforcement learning (RL), which achieves better…

We consider the stochastic optimization problem where a convex function is minimized observing recursively the gradients. We introduce SAEW, a new procedure that accelerates exponential weights procedures with the slow rate $1/\sqrt{T}$ to…

We consider estimating a piecewise-constant image, or a gradient-sparse signal on a general graph, from noisy linear measurements. We propose and study an iterative algorithm to minimize a penalized least-squares objective, with a penalty…

This article proposes novel sparsity-aware space-time adaptive processing (SA-STAP) algorithms with $l_1$-norm regularization for airborne phased-array radar applications. The proposed SA-STAP algorithms suppose that a number of samples of…

We provide a novel -- and to the best of our knowledge, the first -- algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse…

This paper introduces a new kind of seasonal fractional autoregressive process (SFAR) driven by fractional Gaussian noise (fGn). The new model includes a standard seasonal AR model and fGn. {The estimation of the parameters of this new…