相关论文: Sparse change detection in high-dimensional linear…

We present a new class of methods for high-dimensional nonparametric regression and classification called sparse additive models (SpAM). Our methods combine ideas from sparse linear modeling and additive nonparametric regression. We derive…

Random projection is often used to project higher-dimensional vectors onto a lower-dimensional space, while approximately preserving their pairwise distances. It has emerged as a powerful tool in various data processing tasks and has…

We study a regression model with a huge number of interacting variables. We consider a specific approximation of the regression function under two ssumptions: (i) there exists a sparse representation of the regression function in a…

Sparse principal component analysis (sparse PCA) is a widely used technique for dimensionality reduction in multivariate analysis, addressing two key limitations of standard PCA. First, sparse PCA can be implemented in high-dimensional low…

We apply a method recently introduced to the statistical literature to directly estimate the precision matrix from an ensemble of samples drawn from a corresponding Gaussian distribution. Motivated by the observation that cosmological…

Sequential change-point detection plays a critical role in numerous real-world applications, where timely identification of distributional shifts can greatly mitigate adverse outcomes. Classical methods commonly rely on parametric density…

We consider the problem of learning a Gaussian variational approximation to the posterior distribution for a high-dimensional parameter, where we impose sparsity in the precision matrix to reflect appropriate conditional independence…

Causal structure learning, also known as causal discovery, aims to estimate causal relationships between variables as a form of a causal directed acyclic graph (DAG) from observational data. One of the major frameworks is the order-based…

We consider detecting change points in the correlation structure of streaming data with minimum assumptions posed on the underlying data distribution. Detection statistics are constructed for dense and sparse change settings, based on…

Accurate and concise governing equations are crucial for understanding system dynamics. Recently, data-driven methods such as sparse regression have been employed to automatically uncover governing equations from data, representing a…

Assuming stationarity is unrealistic in many time series applications. A more realistic alternative is to allow for piecewise stationarity, where the model is allowed to change at given time points. In this article, the problem of detecting…

We consider a linear regression $y=X\beta+u$ where $X\in\mathbb{\mathbb{{R}}}^{n\times p}$, $p\gg n,$ and $\beta$ is $s$-sparse. Motivated by examples in financial and economic data, we consider the situation where $X$ has highly correlated…

We introduce a framework for online changepoint detection and simultaneous model learning which is applicable to highly parametrized models, such as deep neural networks. It is based on detecting changepoints across time by sequentially…

We consider the problem of detecting multiple changepoints in large data sets. Our focus is on applications where the number of changepoints will increase as we collect more data: for example in genetics as we analyse larger regions of the…

This paper is concerned with the estimation of time-varying networks for high-dimensional nonstationary time series. Two types of dynamic behaviors are considered: structural breaks (i.e., abrupt change points) and smooth changes. To…

Recently, a class of algorithms combining classical fixed point iterations with repeated random sparsification of approximate solution vectors has been successfully applied to eigenproblems with matrices as large as $10^{108} \times…

This paper studies the sparse identification problem of unknown sparse parameter vectors in stochastic dynamic systems. Firstly, a novel sparse identification algorithm is proposed, which can generate sparse estimates based on least squares…

An important problem in the analysis of high-dimensional omics data is to identify subsets of molecular variables that are associated with a phenotype of interest. This requires addressing the challenges of high dimensionality, strong…

Repeated measurements are common in many fields, where random variables are observed repeatedly across different subjects. Such data have an underlying hierarchical structure, and it is of interest to learn covariance/correlation at…

As datasets grow larger, they are often distributed across multiple machines that compute in parallel and communicate with a central machine through short messages. In this paper, we focus on sparse regression and propose a new procedure…