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This paper proposes a penalized composite likelihood method for model selection in colored graphical Gaussian models. The method provides a sparse and symmetry-constrained estimator of the precision matrix, and thus conducts model selection…

Sparse modelling or model selection with categorical data is challenging even for a moderate number of variables, because one parameter is roughly needed to encode one category or level. The Group Lasso is a well known efficient algorithm…

In this paper, a new family of resampling-based penalization procedures for model selection is defined in a general framework. It generalizes several methods, including Efron's bootstrap penalization and the leave-one-out penalization…

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for…

We propose the Lasso Weighted $k$-means ($LW$-$k$-means) algorithm as a simple yet efficient sparse clustering procedure for high-dimensional data where the number of features ($p$) can be much larger compared to the number of observations…

Growth in both size and complexity of modern data challenges the applicability of traditional likelihood-based inference. Composite likelihood (CL) methods address the difficulties related to model selection and computational intractability…

Feature selection remains a major challenge in medical prediction, where existing approaches such as LASSO often lack robustness and interpretability. We introduce GRASP, a novel framework that couples Shapley value driven attribution with…

We revisit the generalized hyperbolic (GH) distribution and its nested models. These include widely used parametric choices like the multivariate normal, skew-t, Laplace, and several others. We also introduce the multiple-choice LASSO, a…

Inference for high-dimensional logistic regression models using penalized methods has been a challenging research problem. As an illustration, a major difficulty is the significant bias of the Lasso estimator, which limits its direct…

We study the problem of learning a sparse linear regression vector under additional conditions on the structure of its sparsity pattern. This problem is relevant in machine learning, statistics and signal processing. It is well known that a…

In many high dimensional classification or regression problems set in a biological context, the complete identification of the set of informative features is often as important as predictive accuracy, since this can provide mechanistic…

We introduce a novel method for sparse regression and variable selection, which is inspired by modern ideas in multiple testing. Imagine we have observations from the linear model y = X beta + z, then we suggest estimating the regression…

We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted $\ell_1$-Norm penalization, henceforth SLOPE. Our approach is able to…

Classification is a fundamental task in supervised learning, while achieving valid misclassification rate control remains challenging due to possibly the limited predictive capability of the classifiers or the intrinsic complexity of the…

Variable selection in relation to regression modeling has constituted a methodological problem for more than 60 years. Especially in the context of high-dimensional regression, developing stable and reliable methods, algorithms, and…

Model selection based on classical information criteria, such as BIC, is generally computationally demanding, but its properties are well studied. On the other hand, model selection based on parameter shrinkage by $\ell_1$-type penalties is…

We study tools for inference conditioned on model selection events that are defined by the generalized lasso regularization path. The generalized lasso estimate is given by the solution of a penalized least squares regression problem, where…

Directed acyclic graphs (DAGs) are commonly used to represent causal relationships among random variables in graphical models. Applications of these models arise in the study of physical, as well as biological systems, where directed edges…

Many penalized maximum likelihood estimators correspond to posterior mode estimators under specific prior distributions. Appropriateness of a particular class of penalty functions can therefore be interpreted as the appropriateness of a…

In regression problems where covariates can be naturally grouped, the group Lasso is an attractive method for variable selection since it respects the grouping structure in the data. We study the selection and estimation properties of the…