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We study one particular type of multivariate spatial autoregression (MSAR) model with diverging dimensions in both responses and covariates. This makes the usual MSAR models no longer applicable due to the high computational cost. To…
Spatial concurrent linear models, in which the model coefficients are spatial processes varying at a local level, are flexible and useful tools for analyzing spatial data. One approach places stationary Gaussian process priors on the…
The graphical lasso (glasso) is a widely-used fast algorithm for estimating sparse inverse covariance matrices. The glasso solves an L1 penalized maximum likelihood problem and is available as an R library on CRAN. The output from the…
We develop an estimator for treatment effects in high-dimensional settings with additive measurement error, a prevalent challenge in modern econometrics. We introduce the Double/Debiased Convex Conditioned LASSO (Double/Debiased CoCoLASSO),…
Applying standard statistical methods after model selection may yield inefficient estimators and hypothesis tests that fail to achieve nominal type-I error rates. The main issue is the fact that the post-selection distribution of the data…
This paper develops a new framework, called modular regression, to utilize auxiliary information -- such as variables other than the original features or additional data sets -- in the training process of linear models. At a high level, our…
The Lasso regression is a popular regularization method for feature selection in statistics. Prior to computing the Lasso estimator in both linear and generalized linear models, it is common to conduct a preliminary rescaling of the feature…
The L1-regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure of a Gaussian Markov…
It is a challenging task to select correlated variables in a high dimensional space. To address this challenge, the elastic net has been developed and successfully applied to many applications. Despite its great success, the elastic net…
Semi-supervised multi-label feature selection has recently been developed to solve the curse of dimensionality problem in high-dimensional multi-label data with certain samples missing labels. Although many efforts have been made, most…
The Lasso has been widely used as a method for variable selection, valued for its simplicity and empirical performance. However, Lasso's selection stability deteriorates in the presence of correlated predictors. Several approaches have been…
Much theoretical and applied work has been devoted to high-dimensional regression with clean data. However, we often face corrupted data in many applications where missing data and measurement errors cannot be ignored. Loh and Wainwright…
We develop Latent Exploration Score (LES) to mitigate over-exploration in Latent Space Optimization (LSO), a popular method for solving black-box discrete optimization problems. LSO utilizes continuous optimization within the latent space…
The least absolute shrinkage and selection operator (Lasso) is a popular method for high-dimensional statistics. However, it is known that the Lasso often has estimation bias and prediction error. To address such disadvantages, many…
Variance reduction is a crucial idea for Monte Carlo simulation and the stochastic Lanczos quadrature method is a dedicated method to approximate the trace of a matrix function. Inspired by their advantages, we combine these two techniques…
We study the problem of high-dimensional variable selection via some two-step procedures. First we show that given some good initial estimator which is $\ell_{\infty}$-consistent but not necessarily variable selection consistent, we can…
Integral field spectroscopy (IFS) provides spatially resolved spectra, enabling detailed studies that address the physical and kinematic properties of the interstellar medium. A critical step in analyzing IFS data is the decomposition of…
We consider the problem of estimating sparse graphs by a lasso penalty applied to the inverse covariance matrix. Using a coordinate descent procedure for the lasso, we develop a simple algorithm that is remarkably fast: in the worst cases,…
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces the effective dimensionality of the estimation (and hence…
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable exceptions, all integrated variance estimators proposed in the…