Related papers: Nonconvex High-Dimensional Time-Varying Coefficien…
In this paper, we study the issue of estimating a structured signal $x_0 \in \mathbb{R}^n$ from non-linear and noisy Gaussian observations. Supposing that $x_0$ is contained in a certain convex subset $K \subset \mathbb{R}^n$, we prove that…
We propose a robust inferential procedure for assessing uncertainties of parameter estimation in high-dimensional linear models, where the dimension $p$ can grow exponentially fast with the sample size $n$. Our method combines the…
In this paper, we consider the Group Lasso estimator of the covariance matrix of a stochastic process corrupted by an additive noise. We propose to estimate the covariance matrix in a high-dimensional setting under the assumption that the…
Due to the mechanism of recording, the presence of multiple transactions at each recording time becomes a common feature for high-frequency data in financial market. Using random matrix theory, this paper considers the estimation of…
In this paper, we propose a new method for estimation and constructing confidence intervals for low-dimensional components in a high-dimensional model. The proposed estimator, called Constrained Lasso (CLasso) estimator, is obtained by…
This work addresses the issue of large covariance matrix estimation in high-dimensional statistical analysis. Recently, improved iterative algorithms with positive-definite guarantee have been developed. However, these algorithms cannot be…
This article considers a novel and widely applicable approach to modeling high-dimensional dependent data when a large number of explanatory variables are available and the signal-to-noise ratio is low. We postulate that a $p$-dimensional…
This article proposes a new approach to modeling high-dimensional time series by treating a $p$-dimensional time series as a nonsingular linear transformation of certain common factors and idiosyncratic components. Unlike the approximate…
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the…
Sparsity promoting norms are frequently used in high dimensional regression. A limitation of such Lasso-type estimators is that the optimal regularization parameter depends on the unknown noise level. Estimators such as the concomitant…
We consider the problem of multivariate density estimation when the unknown density is assumed to follow a particular form of dimensionality reduction, a noisy independent factor analysis (IFA) model. In this model the data are generated by…
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent…
High-dimensional linear regression under heavy-tailed noise or outlier corruption is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs,…
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial extension of the very popular common correlated effects…
High-dimensional, higher-order tensor data are gaining prominence in a variety of fields, including but not limited to computer vision and network analysis. Tensor factor models, induced from noisy versions of tensor decompositions or…
This paper introduces a Projected Principal Component Analysis (Projected-PCA), which employs principal component analysis to the projected (smoothed) data matrix onto a given linear space spanned by covariates. When it applies to…
We propose a new framework for modeling high-dimensional matrix-variate time series by a two-way transformation, where the transformed data consist of a matrix-variate factor process, which is dynamically dependent, and three other blocks…
The factor analysis model is a statistical model where a certain number of hidden random variables, called factors, affect linearly the behaviour of another set of observed random variables, with additional random noise. The main assumption…
We propose a new pivotal method for estimating high-dimensional matrices. Assume that we observe a small set of entries or linear combinations of entries of an unknown matrix $A\_0$ corrupted by noise. We propose a new method for estimating…
This paper proposes a new multi-linear projection method for denoising and estimation of high-dimensional matrix-variate factor time series. It assumes that a $p_1\times p_2$ matrix-variate time series consists of a dynamically dependent,…