Related papers: Estimation of MIDAS Regressions with Errors-in-the…
This work is concerned with the estimation of multidimensional regression and the asymptotic behaviour of the test involved in selecting models. The main problem with such models is that we need to know the covariance matrix of the noise to…
Regression with the lasso penalty is a popular tool for performing dimension reduction when the number of covariates is large. In many applications of the lasso, like in genomics, covariates are subject to measurement error. We study the…
We consider the problem of estimating a low-dimensional parameter in high-dimensional linear regression. Constructing an approximately unbiased estimate of the parameter of interest is a crucial step towards performing statistical…
The analysis of experimental data with mixed-effects models requires decisions about the specification of the appropriate random-effects structure. Recently, Barr, Levy, Scheepers, and Tily, 2013 recommended fitting `maximal' models with…
The paper considers variable selection in linear regression models where the number of covariates is possibly much larger than the number of observations. High dimensionality of the data brings in many complications, such as (possibly…
We consider high-dimensional generalized linear models when the covariates are contaminated by measurement error. Estimates from errors-in-variables regression models are well-known to be biased in traditional low-dimensional settings if…
We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies. In the case of a large VAR with stochastic volatility, the…
A common problem in analysis of experiments or in lattice QCD simulations is fitting a parameterized model to the average over a number of samples of correlated data values. If the number of samples is not infinite, estimates of the…
This study explores the classification error of Mixture Discriminant Analysis (MDA) in scenarios where the number of mixture components exceeds those present in the actual data distribution, a condition known as overspecification. We use a…
Meta-analysis is a powerful tool to synthesize findings from multiple studies. The normal-normal random-effects model is widely used to account for between-study heterogeneity. However, meta-analysis of sparse data, which may arise when the…
For a high-dimensional linear model with a finite number of covariates measured with error, we study statistical inference on the parameters associated with the error-prone covariates, and propose a new corrected decorrelated score test and…
Joint misclassification of exposure and outcome variables can lead to considerable bias in epidemiological studies of causal exposure-outcome effects. In this paper, we present a new maximum likelihood based estimator for the marginal…
In a multi-fidelity setting, data are available from two sources, high- and low-fidelity. Low-fidelity data has larger size and can be leveraged to make more efficient inference about quantities of interest, e.g. the mean, for high-fidelity…
Mislabeled data is a pervasive issue that undermines the performance of machine learning systems in real-world applications. An effective approach to mitigate this problem is to detect mislabeled instances and subject them to special…
An important challenge in statistical analysis lies in controlling the bias of estimators due to the ever-increasing data size and model complexity. Approximate numerical methods and data features like censoring and misclassification often…
We consider a framework for determining and estimating the conditional pairwise relationships of variables when the observed samples are contaminated with measurement error in high dimensional settings. Assuming the true underlying…
Combining machine learning with econometric analysis is becoming increasingly prevalent in both research and practice. A common empirical strategy involves the application of predictive modeling techniques to 'mine' variables of interest…
Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used to model high-frequency responses by means of low-frequency variables. However, due to the periodic structure of RU-MIDAS regressions, the dimensionality grows quickly…
Measurement error can often be harmful when estimating causal effects. Two scenarios in which this is the case are in the estimation of (a) the average treatment effect when confounders are measured with error and (b) the natural indirect…
We developed a single factor model with measure-specific sample weights for multivariate data with multiple observed indicators clustered within a higher level subject. The factor is therefore a latent variable shared by multiple indicators…