Related papers: Minimax and adaptive estimation of general linear …

We consider a model where a signal (discrete or continuous) is observed with an additive Gaussian noise process. The signal is issued from a linear combination of a finite but increasing number of translated features. The features are…

We study the performance of a family of randomized parallel coordinate descent methods for minimizing the sum of a nonsmooth and separable convex functions. The problem class includes as a special case L1-regularized L1 regression and the…

This paper studies high-dimensional additive regression under the transfer learning framework, where one observes samples from a target population together with auxiliary samples from different but potentially related regression models. We…

Estimation and inference in statistics pose significant challenges when data are collected adaptively. Even in linear models, the Ordinary Least Squares (OLS) estimator may fail to exhibit asymptotic normality for single coordinate…

We know that compressive sensing can establish stable sparse recovery results from highly undersampled data under a restricted isometry property condition. In reality, however, numerous problems are coherent, and vast majority conventional…

In this work, we study the problem of aggregating a finite number of predictors for nonstationary sub-linear processes. We provide oracle inequalities relying essentially on three ingredients: (1) a uniform bound of the $\ell^1$ norm of the…

We are motivated by problems that arise in a number of applications such as Online Marketing and Explosives detection, where the observations are usually modeled using Poisson statistics. We model each observation as a Poisson random…

We consider model selection and estimation for partial spline models and propose a new regularization method in the context of smoothing splines. The regularization method has a simple yet elegant form, consisting of roughness penalty on…

We study functional regression with random subgaussian design and real-valued response. The focus is on the problems in which the regression function can be well approximated by a functional linear model with the slope function being…

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…

Sparse linear regression is a central problem in high-dimensional statistics. We study the correlated random design setting, where the covariates are drawn from a multivariate Gaussian $N(0,\Sigma)$, and we seek an estimator with small…

Biased stochastic estimators, such as finite-differences for noisy gradient estimation, often contain parameters that need to be properly chosen to balance impacts from the bias and the variance. While the optimal order of these parameters…

We study estimation and testing in the Poisson regression model with noisy high dimensional covariates, which has wide applications in analyzing noisy big data. Correcting for the estimation bias due to the covariate noise leads to a…

We consider the problem of model selection type aggregation in the context of density estimation. We first show that empirical risk minimization is sub-optimal for this problem and it shares this property with the exponential weights…

We study theoretical properties of regularized robust M-estimators, applicable when data are drawn from a sparse high-dimensional linear model and contaminated by heavy-tailed distributions and/or outliers in the additive errors and…

In this paper, we investigate the theoretical guarantees of penalized $\lun$ minimization (also called Basis Pursuit Denoising or Lasso) in terms of sparsity pattern recovery (support and sign consistency) from noisy measurements with…

We consider unregularized robust M-estimators for linear models under Gaussian design and heavy-tailed noise, in the proportional asymptotics regime where the sample size n and the number of features p are both increasing such that $p/n \to…

We consider the following signal recovery problem: given a measurement matrix $\Phi\in \mathbb{R}^{n\times p}$ and a noisy observation vector $c\in \mathbb{R}^{n}$ constructed from $c = \Phi\theta^* + \epsilon$ where $\epsilon\in…

We study a family of sparse estimators defined as minimizers of some empirical Lipschitz loss function -- which include the hinge loss, the logistic loss and the quantile regression loss -- with a convex, sparse or group-sparse…

We establish theoretical guarantees for the expected prediction error of the exponential weighting aggregate in the case of multivariate regression that is when the label vector is multidimensional. We consider the regression model with…