相关论文: Weight-calibrated estimation for factor models of …

We analyze gradient descent with randomly weighted data points in a linear regression model, under a generic weighting distribution. This includes various forms of stochastic gradient descent, importance sampling, but also extends to…

Modern data are increasingly both high-dimensional and heteroscedastic. This paper considers the challenge of estimating underlying principal components from high-dimensional data with noise that is heteroscedastic across samples, i.e.,…

We propose a flexible yet interpretable model for high-dimensional data with time-varying second order statistics, motivated and applied to functional neuroimaging data. Motivated by the neuroscience literature, we factorize the covariances…

Nonnegative matrix factorization (NMF) has been widely used to dimensionality reduction in machine learning. However, the traditional NMF does not properly handle outliers, so that it is sensitive to noise. In order to improve the…

In the multiple linear regression setting, we propose a general framework, termed weighted orthogonal components regression (WOCR), which encompasses many known methods as special cases, including ridge regression and principal components…

This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference methods for the RDD models with covariate selection which perform…

Independent or i.i.d. innovations is an essential assumption in the literature for analyzing a vector time series. However, this assumption is either too restrictive for a real-life time series to satisfy or is hard to verify through a…

In this paper, we propose a new Bayesian inference method for a high-dimensional sparse factor model that allows both the factor dimensionality and the sparse structure of the loading matrix to be inferred. The novelty is to introduce a…

The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…

In dealing with high-dimensional data, factor models are often used for reducing dimensions and extracting relevant information. The spectrum of covariance matrices from power data exhibits two aspects: 1) bulk, which arises from random…

We study the high-dimensional linear regression problem with categorical predictors that have many levels. We propose a new estimation approach, which performs model compression via two mechanisms by simultaneously encouraging (a)…

We study the problem of identifying change points in high-dimensional generalized linear models, and propose an approach based on sample-weighted empirical risk minimization. Our method, Weighted ERM, encodes priors on the change points via…

Many pre-trained models (PTMs) are available in modern applications. Because different PTMs are often trained on different datasets, their performances can vary substantially for different new tasks, and the ranking of the candidates may…

When we are interested in high-dimensional system and focus on classification performance, the $\ell_{1}$-penalized logistic regression is becoming important and popular. However, the Lasso estimates could be problematic when penalties of…

This paper offers a new approach to address the model uncertainty in (potentially) divergent-dimensional single-index models (SIMs). We propose a model-averaging estimator based on cross-validation, which allows the dimension of covariates…

A common problem in data analysis is the separation of signal and background. We revisit and generalise the so-called $sWeights$ method, which allows one to calculate an empirical estimate of the signal density of a control variable using a…

Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…

The generalization capacity of various machine learning models exhibits different phenomena in the under- and over-parameterized regimes. In this paper, we focus on regression models such as feature regression and kernel regression and…

We study prediction-powered conditional inference in the setting where labeled data are scarce, unlabeled covariates are abundant, and a black-box machine-learning predictor is available. The goal is to perform statistical inference on…

For factor model, the involved covariance matrix often has no row sparse structure because the common factors may lead some variables to strongly associate with many others. Under the ultra-high dimensional paradigm, this feature causes…