Related papers: Testing Many Zero Restrictions in a High Dimension…
In this paper, for Lasso penalized linear regression models in high-dimensional settings, we propose a modified cross-validation method for selecting the penalty parameter. The methodology is extended to other penalties, such as Elastic…
A non parametric method based on the empirical likelihood is proposed for detecting the change in the coefficients of high-dimensional linear model where the number of model variables may increase as the sample size increases. This amounts…
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 proposes an overidentifying restriction test for high-dimensional linear instrumental variable models. The novelty of the proposed test is that it allows the number of covariates and instruments to be larger than the sample size.…
High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model.…
High-dimensional statistical settings ($p \gg n$) pose fundamental challenges for classical inference, largely due to bias introduced by regularized estimators such as the LASSO. To address this, Javanmard and Montanari (2014) propose a…
We consider testing regression coefficients in high dimensional generalized linear models. An investigation of the test of Goeman et al. (2011) is conducted, which reveals that if the inverse of the link function is unbounded, the high…
We consider selection of random predictors for high-dimensional regression problem with binary response for a general loss function. Important special case is when the binary model is semiparametric and the response function is misspecified…
We study a linear high-dimensional regression model in a semi-supervised setting, where for many observations only the vector of covariates $X$ is given with no response $Y$. We do not make any sparsity assumptions on the vector of…
The integrated conditional moment (ICM) test is a classical and widely used method for assessing the adequacy of regression models. Although it performs well in fixed-dimension settings, its behavior changes dramatically when the predictor…
We propose a high dimensional mean test framework for shrinking random variables, where the underlying random variables shrink to zero as the sample size increases. By pooling observations across overlapping subsets of dimensions, we…
We propose a new approach to safe variable preselection in high-dimensional penalized regression, such as the lasso. Preselection - to start with a manageable set of covariates - has often been implemented without clear appreciation of its…
In this paper, we address the inference problem in high-dimensional linear expectile regression. We transform the expectile loss into a weighted-least-squares form and apply a de-biased strategy to establish Wald-type tests for multiple…
This paper studies the high-dimensional mixed linear regression (MLR) where the output variable comes from one of the two linear regression models with an unknown mixing proportion and an unknown covariance structure of the random…
In spite of the wealth of literature on the theoretical properties of the Lasso, there is very little known when the value of the tuning parameter is chosen using the data, even though this is what actually happens in practice. We give a…
We consider the problem of testing for long-range dependence in time-varying coefficient regression models, where the covariates and errors are locally stationary, allowing complex temporal dynamics and heteroscedasticity. We develop KPSS,…
Motivated by statistical inference problems in high-dimensional time series data analysis, we first derive non-asymptotic error bounds for Gaussian approximations of sums of high-dimensional dependent random vectors on hyper-rectangles,…
The goal of predictive sparse coding is to learn a representation of examples as sparse linear combinations of elements from a dictionary, such that a learned hypothesis linear in the new representation performs well on a predictive task.…
I propose two U-statistics to test coefficients in generalized linear models. One of them is used to deal with global hypothesis and the other one to test with the nuisance parameter. Both the statistics proposed are within high-dimensional…
High dimensional predictive regressions are useful in wide range of applications. However, the theory is mainly developed assuming that the model is stationary with time invariant parameters. This is at odds with the prevalent evidence for…