相关论文: Lazy Estimation of Variable Importance for Large N…

Regression adjustments are often considered by investigators to improve the estimation efficiency of causal effect in randomized experiments when there exists many pre-experiment covariates. In this paper, we provide conditions that…

The performance of penalized likelihood approaches depends profoundly on the selection of the tuning parameter; however, there is no commonly agreed-upon criterion for choosing the tuning parameter. Moreover, penalized likelihood estimation…

Logistic regression model is widely used in many studies to investigate the relationship between a binary response variable Y and a set of potential predictors $X_1,\ldots, X_p$ (for example: $Y = 1$ if the outcome occurred and $Y = 0$…

The $\ell_1$-penalized method, or the Lasso, has emerged as an important tool for the analysis of large data sets. Many important results have been obtained for the Lasso in linear regression which have led to a deeper understanding of…

This paper is concerned with the selection and estimation of fixed and random effects in linear mixed effects models. We propose a class of nonconcave penalized profile likelihood methods for selecting and estimating important fixed…

Machine learning optimization often depends on stochastic gradient descent, where the precision of gradient estimation is vital for model performance. Gradients are calculated from mini-batches formed by uniformly selecting data samples…

Subsampling is a popular approach to alleviating the computational burden for analyzing massive datasets. Recent efforts have been devoted to various statistical models without explicit regularization. In this paper, we develop an efficient…

Models with a large number of latent variables are often used to fully utilize the information in big or complex data. However, they can be difficult to estimate using standard approaches, and variational inference methods are a popular…

Shrinkage estimators that possess the ability to produce sparse solutions have become increasingly important to the analysis of today's complex datasets. Examples include the LASSO, the Elastic-Net and their adaptive counterparts.…

The popularity of penalized regression in high-dimensional data analysis has led to a demand for new inferential tools for these models. False discovery rate control is widely used in high-dimensional hypothesis testing, but has only…

This paper is concerned with the selection of fixed effects along with the estimation of fixed effects, random effects and variance components in the linear mixed-effects model. We introduce a selection procedure based on an adaptive ridge…

We consider the application of a popular penalised regression method, Ridge Regression, to data with very high dimensions and many more covariates than observations. Our motivation is the problem of out-of-sample prediction and the setting…

For linear regression models who are not exactly sparse in the sense that the coefficients of the insignificant variables are not exactly zero, the working models obtained by a variable selection are often biased. Even in sparse cases,…

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…

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…

An importance weight quantifies the relative importance of one example over another, coming up in applications of boosting, asymmetric classification costs, reductions, and active learning. The standard approach for dealing with importance…

Researchers now routinely use AI or other machine learning methods to estimate latent variables of economic interest, then plug-in the estimates as covariates in a regression. We show both theoretically and empirically that naively treating…

Offline Reinforcement Learning (RL) faces distributional shift and unreliable value estimation, especially for out-of-distribution (OOD) actions. To address this, existing uncertainty-based methods penalize the value function with…

Building prediction models from mass-spectrometry data is challenging due to the abundance of correlated features with varying degrees of zero-inflation, leading to a common interest in reducing the features to a concise predictor set with…

Reinforcement Learning with Verifiable Rewards (RLVR) has emerged as a powerful paradigm for post-training large reasoning models (LRMs) using policy-gradient methods such as GRPO. To stabilize training, these methods typically center…