相关论文: False Discoveries Occur Early on the Lasso Path

So-called sparse estimators arise in the context of model fitting, when one a priori assumes that only a few (unknown) model parameters deviate from zero. Sparsity constraints can be useful when the estimation problem is under-determined,…

Recent research has studied the role of sparsity in high dimensional regression and signal reconstruction, establishing theoretical limits for recovering sparse models from sparse data. This line of work shows that $\ell_1$-regularized…

Penalized regression methods are an attractive tool for high-dimensional data analysis, but their widespread adoption has been hampered by the difficulty of applying inferential tools. In particular, the question "How reliable is the…

We study the problem of selecting features associated with extreme values in high dimensional linear regression. Normally, in linear modeling problems, the presence of abnormal extreme values or outliers is considered an anomaly which…

This paper considers the design of tunable decision schemes capable of rejecting with high probability mismatched signals embedded in Gaussian interference with unknown covariance matrix. To this end, a sparse recovery technique is…

The lasso has become an important practical tool for high dimensional regression as well as the object of intense theoretical investigation. But despite the availability of efficient algorithms, the lasso remains computationally demanding…

High-dimensional time series appear in many scientific setups, demanding a nuanced approach to model and analyze the underlying dependence structure. Theoretical advancements so far often rely on stringent assumptions regarding the sparsity…

Given $n$ noisy samples with $p$ dimensions, where $n \ll p$, we show that the multi-step thresholding procedure based on the Lasso -- we call it the {\it Thresholded Lasso}, can accurately estimate a sparse vector $\beta \in \R^p$ in a…

The main contribution of this paper is a mathematical definition of statistical sparsity, which is expressed as a limiting property of a sequence of probability distributions. The limit is characterized by an exceedance measure~$H$ and a…

We explore and illustrate the concept of ranked sparsity, a phenomenon that often occurs naturally in modeling applications when an expected disparity exists in the quality of information between different feature sets. Its presence can…

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…

In the field of materials science and engineering, statistical analysis and machine learning techniques have recently been used to predict multiple material properties from an experimental design. These material properties correspond to…

We propose a new variable selection algorithm, subsample-ordered least-angle regression (solar), and its coordinate descent generalization, solar-cd. Solar re-constructs lasso paths using the $L_0$ norm and averages the resulting solution…

We give oracle inequalities on procedures which combines quantization and variable selection via a weighted Lasso $k$-means type algorithm. The results are derived for a general family of weights, which can be tuned to size the influence of…

To estimate a sparse linear model from data with Gaussian noise, consilience from lasso and compressed sensing literatures is that thresholding estimators like lasso and the Dantzig selector have the ability in some situations to identify…

We study least squares linear regression over $N$ uncorrelated Gaussian features that are selected in order of decreasing variance. When the number of selected features $p$ is at most the sample size $n$, the estimator under consideration…

We derive asymptotic properties of penalized estimators for singular models for which identifiability may break and the true parameter values can lie on the boundary of the parameter space. Selection consistency of the estimators is also…

The existence of latent variables in practical problems is common, for example when some variables are difficult or expensive to measure, or simply unknown. When latent variables are unaccounted for, structure learning for Gaussian…

We consider the most common variants of linear regression, including Ridge, Lasso and Support-vector regression, in a setting where the learner is allowed to observe only a fixed number of attributes of each example at training time. We…

In this paper we revisit the risk bounds of the lasso estimator in the context of transductive and semi-supervised learning. In other terms, the setting under consideration is that of regression with random design under partial labeling.…