Related papers: Two-sided Matrix Regression
This paper studies the inference about linear functionals of high-dimensional low-rank matrices. While most existing inference methods would require consistent estimation of the true rank, our procedure is robust to rank misspecification,…
We propose an $L_{2}$-based penalization algorithm for functional linear regression models, where the coefficient function is shrunk towards a data-driven shape template $\gamma$, which is constrained to belong to a class of piecewise…
This study aims to solve the over-reliance on the rank estimation strategy in the standard tensor factorization-based tensor recovery and the problem of a large computational cost in the standard t-SVD-based tensor recovery. To this end, we…
We propose a penalized likelihood method to fit the linear discriminant analysis model when the predictor is matrix valued. We simultaneously estimate the means and the precision matrix, which we assume has a Kronecker product…
Given a full rank matrix $X$ with more columns than rows, consider the task of estimating the pseudo inverse $X^+$ based on the pseudo inverse of a sampled subset of columns (of size at least the number of rows). We show that this is…
A Two-Stage approach is described that literally "straighten outs" any potentially nonlinear relationship between a y-outcome variable and each of p = 2 or more potential x-predictor variables. The y-outcome is then predicted from all p of…
We study matrix and tensor denoising when the underlying signal is \textbf{not} necessarily low-rank. In the tensor setting, we observe \[ Y = X^\ast + Z \in \mathbb{R}^{p_1 \times p_2 \times p_3}, \] where $X^\ast$ is an unknown signal…
Traditional functional linear regression usually takes a one-dimensional functional predictor as input and estimates the continuous coefficient function. Modern applications often generate two-dimensional covariates, which become matrices…
Having a regression model, we are interested in finding two-sided intervals that are guaranteed to contain at least a desired proportion of the conditional distribution of the response variable given a specific combination of predictors. We…
This paper presents a model selection technique of estimation in semiparametric regression models of the type Y_i=\beta^{\prime}\underbarX_i+f(T_i)+W_i, i=1,...,n. The parametric and nonparametric components are estimated simultaneously by…
This paper considers a large class of problems where we seek to recover a low rank matrix and/or sparse vector from some set of measurements. While methods based on convex relaxations suffer from a (possibly large) estimator bias, and other…
We study the problem of estimating a low-rank positive semidefinite (PSD) matrix from a set of rank-one measurements using sensing vectors composed of i.i.d. standard Gaussian entries, which are possibly corrupted by arbitrary outliers.…
We consider the mixed regression problem with two components, under adversarial and stochastic noise. We give a convex optimization formulation that provably recovers the true solution, and provide upper bounds on the recovery errors for…
Reinforcement learning (RL) aims to estimate the action to take given a (time-varying) state, with the goal of maximizing a cumulative reward function. Predominantly, there are two families of algorithms to solve RL problems: value-based…
We propose novel randomized optimization methods for high-dimensional convex problems based on restrictions of variables to random subspaces. We consider oblivious and data-adaptive subspaces and study their approximation properties via…
This paper considers a nuclear norm penalized estimator for panel data models with interactive effects. The low-rank interactive effects can be an approximate model and the rank of the best approximation unknown and grow with sample size.…
Precision matrix estimation is a cornerstone concept in statistics, economics, and finance. Despite advances in recent years, estimation methods that are simultaneously (i) dense, (ii) consistent, and (iii) model-free are lacking. While…
We study a regression problem where for some part of the data we observe both the label variable ($Y$) and the predictors (${\bf X}$), while for other part of the data only the predictors are given. Such a problem arises, for example, when…
Consider a multinomial regression model where the response, which indicates a unit's membership in one of several possible unordered classes, is associated with a set of predictor variables. Such models typically involve a matrix of…
Subset selection in multiple linear regression aims to choose a subset of candidate explanatory variables that tradeoff fitting error (explanatory power) and model complexity (number of variables selected). We build mathematical programming…