Related papers: Consistent support recovery for high-dimensional d…
In this paper we discuss an application of Stochastic Approximation to statistical estimation of high-dimensional sparse parameters. The proposed solution reduces to resolving a penalized stochastic optimization problem on each stage of a…
In high dimensional settings, sparse structures are crucial for efficiency, both in term of memory, computation and performance. It is customary to consider $\ell_1$ penalty to enforce sparsity in such scenarios. Sparsity enforcing methods,…
A distributed adaptive algorithm is proposed to solve a node-specific parameter estimation problem where nodes are interested in estimating parameters of local interest, parameters of common interest to a subset of nodes and parameters of…
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 research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
This paper studies sparse super-resolution in arbitrary dimensions. More precisely, it develops a theoretical analysis of support recovery for the so-called BLASSO method, which is an off-the-grid generalisation of l1 regularization (also…
Penalized logistic regression is extremely useful for binary classification with large number of covariates (higher than the sample size), having several real life applications, including genomic disease classification. However, the…
Various bias-correction methods such as EXTRA, gradient tracking methods, and exact diffusion have been proposed recently to solve distributed {\em deterministic} optimization problems. These methods employ constant step-sizes and converge…
In this paper, we propose a dynamically low-dimensional approximation method to solve a class of time-dependent multiscale stochastic diffusion equations. A dynamically bi-orthogonal (DyBO) method was developed to explore low-dimensional…
A general theory of efficient estimation for ergodic diffusion processes sampled at high frequency with an infinite time horizon is presented. High frequency sampling is common in many applications, with finance as a prominent example. The…
We develop a framework for non-asymptotic analysis of deterministic samplers used for diffusion generative modeling. Several recent works have analyzed stochastic samplers using tools like Girsanov's theorem and a chain rule variant of the…
It is more and more frequently the case in applications that the data we observe come from one or more random variables taking values in an infinite dimensional space, e.g. curves. The need to have tools adapted to the nature of these data…
In this paper, we introduce ``UniLasso'' -- a novel statistical method for sparse regression. This two-stage approach preserves the signs of the univariate coefficients and leverages their magnitude. Both of these properties are attractive…
In this paper, we provide a multiscale perspective on the problem of maximum marginal likelihood estimation. We consider and analyse a diffusion-based maximum marginal likelihood estimation scheme using ideas from multiscale dynamics. Our…
Adaptive sampling results in dramatic improvements in the recovery of sparse signals in white Gaussian noise. A sequential adaptive sampling-and-refinement procedure called Distilled Sensing (DS) is proposed and analyzed. DS is a form of…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
Recent research has focused on $\ell_1$ penalized least squares (Lasso) estimators for high-dimensional linear regressions in which the number of covariates $p$ is considerably larger than the sample size $n$. However, few studies have…
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross sectional data, the desparsified LASSO has emerged as a…
In high dimensional sparse regression, pivotal estimators are estimators for which the optimal regularization parameter is independent of the noise level. The canonical pivotal estimator is the square-root Lasso, formulated along with its…
We construct a novel estimator for the diffusion coefficient of the limiting homogenized equation, when observing the slow dynamics of a multiscale model, in the case when the slow dynamics are of bounded variation. Previous research…