Related papers: Guidelines for LASSO and derivatives use under dif…
The analysis of randomized trials with time-to-event endpoints is nearly always plagued by the problem of censoring. As the censoring mechanism is usually unknown, analyses typically employ the assumption of non-informative censoring. While…
Among the most popular variable selection procedures in high-dimensional regression, Lasso provides a solution path to rank the variables and determines a cut-off position on the path to select variables and estimate coefficients. In this…
Covariate adjustment is a general method for improving precision when estimating treatment effects in randomized trials and is recommended by the FDA in its 2023 guidance when baseline variables are prognostic for the primary outcome. We…
In 2023, the U.S. Food and Drug Administration issued guidance for adjustment of covariates in randomized clinical trials, emphasizing its role in enhancing precision and power through prognostic baseline variables. Despite its potential,…
I briefly report on some unexpected results that I obtained when optimizing the model parameters of the Lasso. In simulations with varying observations-to-variables ratio n=p, I typically observe a strong peak in the test error curve at the…
Eliminating the effect of confounding in observational studies typically involves fitting a model for an outcome adjusted for covariates. When, as often, these covariates are high-dimensional, this necessitates the use of sparse estimators…
Estimation in generalized linear models (GLM) is complicated by the presence of constraints. One can handle constraints by maximizing a penalized log-likelihood. Penalties such as the lasso are effective in high dimensions, but often lead…
Residuals in regression models are often spatially correlated. Prominent examples include studies in environmental epidemiology to understand the chronic health effects of pollutants. I consider the effects of residual spatial structure on…
This paper studies variable selection and post-selection inference for high-dimensional clustered data using marginal-model-based procedures. We show that, when covariates are heterogeneously distributed across clusters, marginal-model…
Regularized regression has become very popular nowadays, particularly on high-dimensional problems where the addition of a penalty term to the log-likelihood allows inference where traditional methods fail. A number of penalties have been…
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…
Lasso is a celebrated method for variable selection in linear models, but it faces challenges when the variables are moderately or strongly correlated. This motivates alternative approaches such as using a non-convex penalty, adding a ridge…
While shrinkage is essential in high-dimensional settings, its use for low-dimensional regression-based prediction has been debated. It reduces variance, often leading to improved prediction accuracy. However, it also inevitably introduces…
The pattern of zero entries in the inverse covariance matrix of a multivariate normal distribution corresponds to conditional independence restrictions between variables. Covariance selection aims at estimating those structural zeros from…
There are many settings where researchers are interested in estimating average treatment effects and are willing to rely on the unconfoundedness assumption, which requires that the treatment assignment be as good as random conditional on…
In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and error process, allowing for fatter tails in their…
Estimating causal effects from nonexperimental data is a fundamental problem in many fields of science. A key component of this task is selecting an appropriate set of covariates for confounding adjustment to avoid bias. Most existing…
Model selection in penalized regression critically depends on an accurate assessment of model complexity, commonly quantified through the effective degrees of freedom. While the Lasso admits a simple and unbiased characterization, given by…
We propose the Bayesian adaptive Lasso (BaLasso) for variable selection and coefficient estimation in linear regression. The BaLasso is adaptive to the signal level by adopting different shrinkage for different coefficients. Furthermore, we…
We consider the problem of variable selection in Bayesian multivariate linear regression models, involving multiple response and predictor variables, under multivariate normal errors. In the absence of a known covariance structure,…