Related papers: Sparse estimation for generalized exponential mark…

We consider (nonparametric) sparse (generalized) additive models (SpAM) for classification. The design of a SpAM classifier is based on minimizing the logistic loss with a sparse group Lasso/Slope-type penalties on the coefficients of…

Bayesian variable selection methods are powerful techniques for fitting and inferring on sparse high-dimensional linear regression models. However, many are computationally intensive or require restrictive prior distributions on model…

Covariance estimation for high-dimensional datasets is a fundamental problem in modern day statistics with numerous applications. In these high dimensional datasets, the number of variables p is typically larger than the sample size n. A…

We propose a new estimator for the high-dimensional linear regression model with observation error in the design where the number of coefficients is potentially larger than the sample size. The main novelty of our procedure is that the…

Computational efficient evaluation of penalized estimators of multivariate exponential family distributions is sought. These distributions encompass among others Markov random fields with variates of mixed type (e.g. binary and continuous)…

Parameter estimation connects mathematical models to real-world data and decision making across many scientific and industrial applications. Standard approaches such as maximum likelihood estimation and Markov chain Monte Carlo estimate…

In the regression setting, given a set of hyper-parameters, a model-estimation procedure constructs a model from training data. The optimal hyper-parameters that minimize generalization error of the model are usually unknown. In practice…

The multivariate Hawkes process is a past-dependent point process used to model the relationship of event occurrences between different phenomena.Although the Hawkes process was originally introduced to describe excitation effects, which…

We give oracle inequalities on procedures which combines quantization and variable selection via a weighted Lasso $k$-means type algorithm. The results are derived for a general family of weights, which can be tuned to size the influence of…

The use of Gaussian process models is typically limited to datasets with a few tens of thousands of observations due to their complexity and memory footprint. The two most commonly used methods to overcome this limitation are 1) the…

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 this paper, we develop a parameterized proximal point algorithm (P-PPA) for solving a class of separable convex programming problems subject to linear and convex constraints. The proposed algorithm is provable to be globally convergent…

Sparse feature selection is necessary when we fit statistical models, we have access to a large group of features, don't know which are relevant, but assume that most are not. Alternatively, when the number of features is larger than the…

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…

High-dimensional learning problems, where the number of features exceeds the sample size, often require sparse regularization for effective prediction and variable selection. While established for fully supervised data, these techniques…

We consider penalized estimation in hidden Markov models (HMMs) with multivariate Normal observations. In the moderate-to-large dimensional setting, estimation for HMMs remains challenging in practice, due to several concerns arising from…

In this paper, we design a nonparametric online algorithm for estimating the triggering functions of multivariate Hawkes processes. Unlike parametric estimation, where evolutionary dynamics can be exploited for fast computation of the…

We consider the framework of penalized estimation where the penalty term is given by a real-valued polyhedral gauge, which encompasses methods such as LASSO, generalized LASSO, SLOPE, OSCAR, PACS and others. Each of these estimators is…

We propose a new sparse Granger-causal learning framework for temporal event data. We focus on a specific class of point processes called the Hawkes process. We begin by pointing out that most of the existing sparse causal learning…

Covariance regression offers an effective way to model the large covariance matrix with the auxiliary similarity matrices. In this work, we propose a sparse covariance regression (SCR) approach to handle the potentially high-dimensional…