Related papers: The Complete Lasso Tradeoff Diagram
Sparse linear regression is a central problem in high-dimensional statistics. We study the correlated random design setting, where the covariates are drawn from a multivariate Gaussian $N(0,\Sigma)$, and we seek an estimator with small…
We study the problem of consistently recovering the sparsity pattern of a regression parameter vector from correlated observations governed by deterministic missing data patterns using Lasso. We consider the case in which the observed…
This paper is concerned with false discovery rate (FDR) control in large-scale multiple testing problems. We first propose a new data-driven testing procedure for controlling the FDR in large-scale t-tests for one-sample mean problem. The…
We consider the problem of model selection and estimation in sparse high dimensional linear regression models with strongly correlated variables. First, we study the theoretical properties of the dual Lasso solution, and we show that joint…
The identification of the dependent components in multiple data sets is a fundamental problem in many practical applications. The challenge in these applications is that often the data sets are high-dimensional with few observations or…
Sparse modelling or model selection with categorical data is challenging even for a moderate number of variables, because one parameter is roughly needed to encode one category or level. The Group Lasso is a well known efficient algorithm…
In this paper, we investigate the degrees of freedom ($\dof$) of penalized $\ell_1$ minimization (also known as the Lasso) for linear regression models. We give a closed-form expression of the $\dof$ of the Lasso response. Namely, we show…
Bayesian networks can represent directed gene regulations and therefore are favored over co-expression networks. However, hardly any Bayesian network study concerns the false discovery control (FDC) of network edges, leading to low…
We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We develop a robustified version of the knockoff framework,…
We study the problem of high-dimensional regression when there may be interacting variables. Approaches using sparsity-inducing penalty functions such as the Lasso can be useful for producing interpretable models. However, when the number…
In many research fields, researchers aim to identify significant associations between a set of explanatory variables and a response while controlling the FDR. The Knockoff filter has been recently proposed in the frequentist paradigm to…
Businesses frequently run online controlled experiments (i.e., A/B tests) to learn about the effect of an intervention on multiple business metrics. To account for multiple hypothesis testing, multiple metrics are commonly aggregated into a…
This paper explores the intrinsic connections between the Bayesian false discovery rate (FDR) control procedures and their counterpart of frequentist procedures. We attempt to offer a unified view of FDR control within and beyond the…
All models may be wrong -- but that is not necessarily a problem for inference. Consider the standard $t$-test for the significance of a variable $X$ for predicting response $Y$ whilst controlling for $p$ other covariates $Z$ in a random…
Setting regularization parameters for Lasso-type estimators is notoriously difficult, though crucial in practice. The most popular hyperparameter optimization approach is grid-search using held-out validation data. Grid-search however…
The local false discovery rate (lfdr) of Efron et al. (2001) enjoys major conceptual and decision-theoretic advantages over the false discovery rate (FDR) as an error criterion in multiple testing, but is only well-defined in Bayesian…
Regression forests have long delivered state-of-the-art accuracy, often outperforming regression trees and even neural networks, but they suffer from limited interpretability as ensemble methods. In this work, we revisit forest pruning, an…
We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite $\alpha$-th moment with $\alpha \in (1,2]$. To handle the heavy-tailed dependent data, we…
Blau and Michaeli recently introduced a novel concept for inverse problems of signal processing, that is, the perception-distortion tradeoff. We introduce their tradeoff into the rate distortion theory of variable-length lossy source coding…
This paper develops a unified framework that links firm-level predictive signals, cross-asset spillovers, and the stochastic discount factor (SDF). Signals and spillovers are jointly estimated by maximizing the Sharpe ratio, yielding an…