Related papers: Variable Selection in Ultra-high Dimensional Featu…
In this paper, we propose a propensity score adapted variable selection procedure to select covariates for inclusion in propensity score models, in order to eliminate confounding bias and improve statistical efficiency in observational…
We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. The method is based on a variational approximation to a tractable augmented posterior, and is…
Cox models with time-dependent coefficients and covariates are widely used in survival analysis. In high-dimensional settings, sparse regularization techniques are employed for variable selection, but existing methods for time-dependent Cox…
In traditional logistic regression models, the link function is often assumed to be linear and continuous in predictors. Here, we consider a threshold model that all continuous features are discretized into ordinal levels, which further…
In high-dimensional regression modelling, the number of candidate covariates to be included in the predictor is quite large, and variable selection is crucial. In this work, we propose a new penalty able to guarantee both sparse variable…
Nonparametric varying coefficient (NVC) models are useful for modeling time-varying effects on responses that are measured repeatedly for the same subjects. When the number of covariates is moderate or large, it is desirable to perform…
We consider high-dimensional inference for potentially misspecified Cox proportional hazard models based on low dimensional results by Lin and Wei [1989]. A de-sparsified Lasso estimator is proposed based on the log partial likelihood…
Many data sets consist of variables with an inherent group structure. The problem of group selection has been well studied, but in this paper, we seek to do the opposite: our goal is to select at least one variable from each group in the…
Standard approaches for variable selection in linear models are not tailored to deal properly with high-dimensional and incomplete data. Currently, methods dedicated to high-dimensional data handle missing values by ad-hoc strategies, like…
Cox proportional hazards model is one of the most popular models in biomedical data analysis. There have been continuing efforts to improve the flexibility of such models for complex signal detection, for example, via additive functions.…
We propose a computationally intensive method, the random lasso method, for variable selection in linear models. The method consists of two major steps. In step 1, the lasso method is applied to many bootstrap samples, each using a set of…
Modern soil mapping is characterised by the need to interpolate samples of geostatistical response observations and the availability of relatively large numbers of environmental characteristics for consideration as covariates to aid this…
We propose a generalization of the lasso that allows the model coefficients to vary as a function of a general set of modifying variables. These modifiers might be variables such as gender, age or time. The paradigm is quite general, with…
We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities…
We derive asymptotic properties of penalized estimators for singular models for which identifiability may break and the true parameter values can lie on the boundary of the parameter space. Selection consistency of the estimators is also…
We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of…
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size.…
We describe an apparatus for subgradient-following of the optimum of convex problems with variational penalties. In this setting, we receive a sequence $y_i,\ldots,y_n$ and seek a smooth sequence $x_1,\ldots,x_n$. The smooth sequence needs…
Penalized least squares estimation is a popular technique in high-dimensional statistics. It includes such methods as the LASSO, the group LASSO, and the nuclear norm penalized least squares. The existing theory of these methods is not…
This paper deals with the grouped variable selection problem. A widely used strategy is to augment the negative log-likelihood function with a sparsity-promoting penalty. Existing methods include the group Lasso, group SCAD, and group MCP.…