Related papers: The Dantzig selector: Statistical estimation when …

Consider the quadratic form $\beta = {\bf y}^* ({\bf YY}^* + \rho {\bf I})^{-1} {\bf y}$ where $\rho$ is a positive number, where ${\bf y}$ is a random vector and ${\bf Y}$ is a $N \times K$ random matrix both having independent elements…

We study the behavior of high-dimensional robust regression estimators in the asymptotic regime where $p/n$ tends to a finite non-zero limit. More specifically, we study ridge-regularized estimators, i.e…

High-dimensional inference refers to problems of statistical estimation in which the ambient dimension of the data may be comparable to or possibly even larger than the sample size. We study an instance of high-dimensional inference in…

We study the Lp-integrated risk of some classical estimators of the density, when the observations are drawn from a strictly stationary sequence. The results apply to a large class of sequences, which can be non-mixing in the sense of…

Rescaling a vector $\vec{\delta} \in \mathbb{R}^n$ to a desired length is a common operation in many areas such as data science and machine learning. When the rescaled perturbation $\eta \vec{\delta}$ is added to a starting point $\vec{x}…

Given data drawn from an unknown distribution, $D$, to what extent is it possible to ``amplify'' this dataset and output an even larger set of samples that appear to have been drawn from $D$? We formalize this question as follows: an…

The problem of estimating the covariance matrix $\Sigma$ of a $p$-variate distribution based on its $n$ observations arises in many data analysis contexts. While for $n>p$, the classical sample covariance matrix $\hat{\Sigma}_n$ is a good…

In this paper we are concerned with fully automatic and locally adaptive estimation of functions in a "signal + noise"-model where the regression function may additionally be blurred by a linear operator, e.g. by a convolution. To this end,…

We are interested in the problem of robust parametric estimation of a density from $n$ i.i.d. observations. By using a practice-oriented procedure based on robust tests, we build an estimator for which we establish non-asymptotic risk…

Recent work proposed $\delta$-relevant inputs (or sets) as a probabilistic explanation for the predictions made by a classifier on a given input. $\delta$-relevant sets are significant because they serve to relate (model-agnostic) Anchors…

We study the estimation of $\beta$ for the nonlinear model $y = f(X\sp{\top}\beta) + \epsilon$ when $f$ is a nonlinear transformation that is known, $\beta$ has sparse nonzero coordinates, and the number of observations can be much smaller…

Linear inverse problems are ubiquitous. Often the measurements do not follow a Gaussian distribution. Additionally, a model matrix with a large condition number can complicate the problem further by making it ill-posed. In this case, the…

Let y=A\beta+\epsilon, where y is an N\times1 vector of observations, \beta is a p\times1 vector of unknown regression coefficients, A is an N\times p design matrix and \epsilon is a spherically symmetric error term with unknown scale…

Many statistical estimators are defined as the fixed point of a data-dependent operator, with estimators based on minimizing a cost function being an important special case. The limiting performance of such estimators depends on the…

Regression models, in which the observed features $X \in \R^p$ and the response $Y \in \R$ depend, jointly, on a lower dimensional, unobserved, latent vector $Z \in \R^K$, with $K< p$, are popular in a large array of applications, and…

As large and powerful neural language models are developed, researchers have been increasingly interested in developing diagnostic tools to probe them. There are many papers with conclusions of the form "observation X is found in model Y",…

This paper investigates correct variable selection in finite samples via $\ell_1$ and $\ell_1+\ell_2$ type penalization schemes. The asymptotic consistency of variable selection immediately follows from this analysis. We focus on logistic…

In high-dimensional regression, we attempt to estimate a parameter vector $\beta_0\in\mathbb{R}^p$ from $n\lesssim p$ observations $\{(y_i,x_i)\}_{i\leq n}$ where $x_i\in\mathbb{R}^p$ is a vector of predictors and $y_i$ is a response…

We consider a model of selective prediction, where the prediction algorithm is given a data sequence in an online fashion and asked to predict a pre-specified statistic of the upcoming data points. The algorithm is allowed to choose when to…

The high-dimensional linear model $y = X \beta^0 + \epsilon$ is considered and the focus is put on the problem of recovering the support $S^0$ of the sparse vector $\beta^0.$ We introduce Lasso-Zero, a new $\ell_1$-based estimator whose…