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We extend the feature selection methodology to dependent data and propose a novel time series predictor selection scheme that accommodates statistical dependence in a more typical i.i.d sub-sampling based framework. Furthermore, the…

I develop an algorithm to produce the piecewise quadratic that computes leave-one-out cross-validation for the lasso as a function of its hyperparameter. The algorithm can be used to find exact hyperparameters that optimize leave-one-out…

Extracting relevant features from data sets where the number of observations ($n$) is much smaller then the number of predictors ($p$) is a major challenge in modern statistics. Sorted L-One Penalized Estimation (SLOPE), a generalization of…

The Lasso regression is a popular regularization method for feature selection in statistics. Prior to computing the Lasso estimator in both linear and generalized linear models, it is common to conduct a preliminary rescaling of the feature…

In high dimensional settings where a small number of regressors are expected to be important, the Lasso estimator can be used to obtain a sparse solution vector with the expectation that most of the non-zero coefficients are associated with…

Cellwise contamination remains a challenging problem for data scientists, particularly in research fields that require the selection of sparse features. Traditional robust methods may not be feasible nor efficient in dealing with such…

Predictor screening rules, which discard predictors before fitting a model, have had considerable impact on the speed with which sparse regression problems, such as the lasso, can be solved. In this paper we present a new screening rule for…

For consistency (even oracle properties) of estimation and model prediction, almost all existing methods of variable/feature selection critically depend on sparsity of models. However, for ``large $p$ and small $n$" models sparsity…

Cross-validation is a common method for estimating the predictive performance of machine learning models. In a data-scarce regime, where one typically wishes to maximize the number of instances used for training the model, an approach…

The propensity score (PS) is often used to control for large numbers of covariates in high-dimensional healthcare database studies. The least absolute shrinkage and selection operator (LASSO) has become the most widely used tool for fitting…

Cross validation is commonly used for selecting tuning parameters in penalized regression, but its use in penalized Cox regression models has received relatively little attention in the literature. Due to its partial likelihood…

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…

Penalized logistic regression is extremely useful for binary classification with large number of covariates (higher than the sample size), having several real life applications, including genomic disease classification. However, the…

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…

The Lasso is a popular model selection and estimation procedure for linear models that enjoys nice theoretical properties. In this paper, we study the Lasso estimator for fitting autoregressive time series models. We adopt a double…

A reciprocal LASSO (rLASSO) regularization employs a decreasing penalty function as opposed to conventional penalization approaches that use increasing penalties on the coefficients, leading to stronger parsimony and superior model…

Cross validation is widely used for selecting tuning parameters in regularization methods, but it is computationally intensive in general. To lessen its computational burden, approximation schemes such as generalized approximate cross…

The high-dimensional rank lasso (hdr lasso) model is an efficient approach to deal with high-dimensional data analysis. It was proposed as a tuning-free robust approach for the high-dimensional regression and was demonstrated to enjoy…

In this paper, we propose a two-step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the…

With machine learning being a popular topic in current computational materials science literature, creating representations for compounds has become common place. These representations are rarely compared, as evaluating their performance -…