Related papers: Ridge Regression Revisited: Debiasing, Thresholdin…
When the regressors of a econometric linear model are nonorthogonal, it is well known that their estimation by ordinary least squares can present various problems that discourage the use of this model. The ridge regression is the most…
Nowadays, l1 penalized likelihood has absorbed a high amount of consideration due to its simplicity and well developed theoretical properties. This method is known as a reliable method in order to apply in a broad range of applications…
Ridge functions have recently emerged as a powerful set of ideas for subspace-based dimension reduction. In this paper we begin by drawing parallels between ridge subspaces, sufficient dimension reduction and active subspaces, contrasting…
Scaled sparse linear regression jointly estimates the regression coefficients and noise level in a linear model. It chooses an equilibrium with a sparse regression method by iteratively estimating the noise level via the mean residual…
We study the residual bootstrap (RB) method in the context of high-dimensional linear regression. Specifically, we analyze the distributional approximation of linear contrasts $c^{\top} (\hat{\beta}_{\rho}-\beta)$, where…
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…
A general approach to selective inference is considered for hypothesis testing of the null hypothesis represented as an arbitrary shaped region in the parameter space of multivariate normal model. This approach is useful for hierarchical…
We investigate popular resampling methods for estimating the uncertainty of statistical models, such as subsampling, bootstrap and the jackknife, and their performance in high-dimensional supervised regression tasks. We provide a tight…
We consider the least-square linear regression problem with regularization by the l1-norm, a problem usually referred to as the Lasso. In this paper, we present a detailed asymptotic analysis of model consistency of the Lasso. For various…
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross sectional data, the desparsified LASSO has emerged as a…
When randomized ensemble methods such as bagging and random forests are implemented, a basic question arises: Is the ensemble large enough? In particular, the practitioner desires a rigorous guarantee that a given ensemble will perform…
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…
Variable selection in linear models plays a pivotal role in modern statistics. Hard-thresholding methods such as $l_0$ regularization are theoretically ideal but computationally infeasible. In this paper, we propose a new approach, called…
We consider the problem of estimating a low-dimensional parameter in high-dimensional linear regression. Constructing an approximately unbiased estimate of the parameter of interest is a crucial step towards performing statistical…
We devise a one-shot approach to distributed sparse regression in the high-dimensional setting. The key idea is to average "debiased" or "desparsified" lasso estimators. We show the approach converges at the same rate as the lasso as long…
We consider a high-dimensional linear regression problem. Unlike many papers on the topic, we do not require sparsity of the regression coefficients; instead, our main structural assumption is a decay of eigenvalues of the covariance matrix…
This paper is concerned with inference in threshold regression models when the practitioners do not know whether at the threshold point the true specification has a kink or a jump. We nest previous works that assume either continuity or…
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 Lasso is one of the most important approaches for parameter estimation and variable selection in high dimensional linear regression. At the heart of its success is the attractive rate of convergence result even when $p$, the dimension…
Estimators in statistics and machine learning must typically trade off between efficiency, having low variance for a fixed target, and distributional robustness, such as multiaccuracy, or having low bias over a range of possible targets. In…