Related papers: Empirical Bayes Estimation for Lasso-Type Regulari…
Bayesian penalized regression techniques, such as the Bayesian lasso and the Bayesian horseshoe estimator, have recently received a significant amount of attention in the statistics literature. However, software implementing…
We compute approximate solutions to L0 regularized linear regression using L1 regularization, also known as the Lasso, as an initialization step. Our algorithm, the Lass-0 ("Lass-zero"), uses a computationally efficient stepwise search to…
In the Bayesian reinforcement learning (RL) setting, a prior distribution over the unknown problem parameters -- the rewards and transitions -- is assumed, and a policy that optimizes the (posterior) expected return is sought. A common…
The presented work investigates a sparse Bayesian incremental automatic relevance determination (IARD) algorithm in the context of multipath parameter estimation in a super-resolution regime. The corresponding estimation problem is highly…
Ordering the expected outcomes across a collection of clusters after performing a covariate adjustment commonly arises in many applied settings, such as healthcare provider evaluation. Regression parameters in such covariate adjustment…
We consider the problem of identifying significant predictors in large data bases, where the response variable depends on the linear combination of explanatory variables through an unknown link function, corrupted with the noise from the…
The Rayleigh regression model was recently proposed for modeling amplitude values of synthetic aperture radar (SAR) image pixels. However, inferences from such model are based on the maximum likelihood estimators, which can be biased for…
Model-assisted estimation with complex survey data is an important practical problem in survey sampling. When there are many auxiliary variables, selecting significant variables associated with the study variable would be necessary to…
The Lasso is a method for high-dimensional regression, which is now commonly used when the number of covariates $p$ is of the same order or larger than the number of observations $n$. Classical asymptotic normality theory does not apply to…
A new empirical Bayes approach to variable selection in the context of generalized linear models is developed. The proposed algorithm scales to situations in which the number of putative explanatory variables is very large, possibly much…
In the value-added literature, it is often claimed that regressing on empirical Bayes shrinkage estimates corrects for the measurement error problem in linear regression. We clarify the conditions needed; we argue that these conditions are…
We propose a method for learning linear models whose predictive performance is robust to causal interventions on unobserved variables, when noisy proxies of those variables are available. Our approach takes the form of a regularization term…
This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its…
Regularized linear regression is a promising approach for binary classification problems in which the training set has noisy labels since the regularization term can help to avoid interpolating the mislabeled data points. In this paper we…
Joint Bayesian factor models are popular for characterizing relationships between multivariate correlated predictors and a response variable. Standard models assume that all variables, including both the predictors and the response, are…
When dealing with Bayesian inference the choice of the prior often remains a debatable question. Empirical Bayes methods offer a data-driven solution to this problem by estimating the prior itself from an ensemble of data. In the…
A large empirical literature regresses outcomes on empirical Bayes shrinkage estimates of value-added, yet little is known about whether this approach leads to unbiased estimates and valid inference for the downstream regression…
The out-of-sample error (OO) is the main quantity of interest in risk estimation and model selection. Leave-one-out cross validation (LO) offers a (nearly) distribution-free yet computationally demanding approach to estimate OO. Recent…
Ensemble methods that average over a collection of independent predictors that are each limited to a subsampling of both the examples and features of the training data command a significant presence in machine learning, such as the…
Penalized (or regularized) regression, as represented by Lasso and its variants, has become a standard technique for analyzing high-dimensional data when the number of variables substantially exceeds the sample size. The performance of…