Related papers: Highly Adaptive Ridge
This paper presents an efficient reversible algorithm for linear regression, both with and without ridge regression. Our reversible algorithm matches the asymptotic time and space complexity of standard irreversible algorithms for this…
We develop a theory of evolutionary spectra for heteroskedasticity and autocorrelation robust (HAR) inference when the data may not satisfy second-order stationarity. Nonstationarity is a common feature of economic time series which may…
Sensor-based human activity recognition (HAR) requires to predict the action of a person based on sensor-generated time series data. HAR has attracted major interest in the past few years, thanks to the large number of applications enabled…
We present the first optimal rates for infinite-dimensional vector-valued ridge regression on a continuous scale of norms that interpolate between $L_2$ and the hypothesis space, which we consider as a vector-valued reproducing kernel…
This paper generalizes regularized regression problems in a hyper-reproducing kernel Hilbert space (hyper-RKHS), illustrates its utility for kernel learning and out-of-sample extensions, and proves asymptotic convergence results for the…
High dimensional nonparametric regression is an inherently difficult problem with known lower bounds depending exponentially in dimension. A popular strategy to alleviate this curse of dimensionality has been to use additive models of…
Ridgeless regression has garnered attention among researchers, particularly in light of the ``Benign Overfitting'' phenomenon, where models interpolating noisy samples demonstrate robust generalization. However, kernel ridgeless regression…
We study the problem of estimating the effect function for a continuous treatment, which maps each treatment value to a population-averaged outcome. A central challenge in this setting is confounding: treatment assignment often depends on…
Logistic regression is a ubiquitous method for probabilistic classification. However, the effectiveness of logistic regression depends upon careful and relatively computationally expensive tuning, especially for the regularisation…
We study nonlinear regression of real valued data in an individual sequence manner, where we provide results that are guaranteed to hold without any statistical assumptions. We address the convergence and undertraining issues of…
The Highly-Adaptive-Lasso(HAL)-TMLE is an efficient estimator of a pathwise differentiable parameter in a statistical model that at minimal (and possibly only) assumes that the sectional variation norm of the true nuisance parameters are…
We present a new method for high-dimensional linear regression when a scale parameter of the additive errors is unknown. The proposed estimator is based on a penalized Huber $M$-estimator, for which theoretical results on estimation error…
Consider the case that we observe $n$ independent and identically distributed copies of a random variable with a probability distribution known to be an element of a specified statistical model. We are interested in estimating an infinite…
Competing risks data refer to situations where the occurrence of one event pre- cludes the possibility of other events happening, resulting in multiple mutually exclusive events. This data type is commonly encountered in medical research…
High-dimensional, heterogeneous data with complex feature interactions pose significant challenges for traditional predictive modeling approaches. While Projection to Latent Structures (PLS) remains a popular technique, it struggles to…
BART (Bayesian Additive Regression Trees) has become increasingly popular as a flexible and scalable nonparametric regression approach for modern applied statistics problems. For the practitioner dealing with large and complex nonlinear…
We present a novel method for exact hierarchical sparse polynomial regression. Our regressor is that degree $r$ polynomial which depends on at most $k$ inputs, counting at most $\ell$ monomial terms, which minimizes the sum of the squares…
We focus on the distribution regression problem: regressing to vector-valued outputs from probability measures. Many important machine learning and statistical tasks fit into this framework, including multi-instance learning and point…
We construct confidence sets for the regression function in nonparametric binary regression with an unknown design density. These confidence sets are adaptive in $L^2$ loss over a continuous class of Sobolev type spaces. Adaptation holds in…
With a focus on linear models with smooth functional covariates, we propose a penalization framework (SACR) based on the nonzero centered ridge, where the center of the penalty is optimally reweighted in a supervised way, starting from the…