Related papers: Machine Learning Panel Data Regressions with Heavy…

This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the…

Categorical predictors are omnipresent in everyday regression practice: in fact, most regression data involve some categorical predictors, and this tendency is increasing in modern applications with more complex structures and larger data…

A compositional tree refers to a tree structure on a set of random variables where each random variable is a node and composition occurs at each non-leaf node of the tree. As a generalization of compositional data, compositional trees…

Heavy-tailed metrics are common and often critical to product evaluation in the online world. While we may have samples large enough for Central Limit Theorem to kick in, experimentation is challenging due to the wide confidence interval of…

Panel data involving longitudinal measurements of the same set of participants taken over multiple time points is common in studies to understand childhood development and disease modeling. Deep hybrid models that marry the predictive power…

The Temporal Group LASSO is an example of a multi-task, regularized regression approach for the prediction of response variables that vary over time. The aim of this work is to introduce the reader to the concepts behind the Temporal Group…

In recent works on the theory of machine learning, it has been observed that heavy tail properties of Stochastic Gradient Descent (SGD) can be studied in the probabilistic framework of stochastic recursions. In particular,…

Deep learning algorithms face great challenges with long-tailed data distribution which, however, is quite a common case in real-world scenarios. Previous methods tackle the problem from either the aspect of input space (re-sampling classes…

Identifying homogeneous subgroups of variables can be challenging in high dimensional data analysis with highly correlated predictors. We propose a new method called Hexagonal Operator for Regression with Shrinkage and Equality Selection,…

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…

Recent works have proposed incorporating heavy-tailed (HT) noise into diffusion- and flow-based generative models, with the goals of better recovering the tails of target distributions and improving generative diversity. This motivation is…

We address the problem of prediction of multivariate data process using an underlying graph model. We develop a method that learns a sparse partial correlation graph in a tuning-free and computationally efficient manner. Specifically, the…

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…

In this paper, we develop a novel high-dimensional coefficient estimation procedure based on high-frequency data. Unlike usual high-dimensional regression procedures such as LASSO, we additionally handle the heavy-tailedness of…

Choosing between classical and Bayesian sparse regression methods involves a real trade-off: penalized estimators like Lasso run in milliseconds but give no uncertainty estimates,while Horseshoe and Spike-and-Slab priors produce full…

Predicting clinical variables from whole-brain neuroimages is a high dimensional problem that requires some type of feature selection or extraction. Penalized regression is a popular embedded feature selection method for high dimensional…

We study the problem of modelling high-dimensional, heavy-tailed time series data via a factor-adjusted vector autoregressive (VAR) model, which simultaneously accounts for pervasive co-movements of the variables by a handful of factors, as…

We present a data dependent generalization bound for a large class of regularized algorithms which implement structured sparsity constraints. The bound can be applied to standard squared-norm regularization, the Lasso, the group Lasso, some…

Mixup is a popular data augmentation method, with many variants subsequently proposed. These methods mainly create new examples via convex combination of random data pairs and their corresponding one-hot labels. However, most of them adhere…

Federated learning (FL) provides a privacy-preserving solution for distributed machine learning tasks. One challenging problem that severely damages the performance of FL models is the co-occurrence of data heterogeneity and long-tail…