相关论文: Regression with strongly correlated data

We propose new methods for multivariate linear regression when the regression coefficient matrix is sparse and the error covariance matrix is dense. We assume that the error covariance matrix has equicorrelation across the response…

It is well known that parameters for strongly correlated predictor variables in a linear model cannot be accurately estimated. We look for linear combinations of these parameters that can be. Under a uniform model, we find such linear…

We consider the problem of linear regression from strategic data sources with a public good component, i.e., when data is provided by strategic agents who seek to minimize an individual provision cost for increasing their data's precision…

We improve a known result on the strong consistency of M-estimates of the regression parameters in a linear model for independent and identically distributed random errors under some mild conditions.

Correlated data are ubiquitous in today's data-driven society. While regression models for analyzing means and variances of responses of interest are relatively well-developed, the development of these models for analyzing the correlations…

Mixtures of Linear Regressions (MLR) is an important mixture model with many applications. In this model, each observation is generated from one of the several unknown linear regression components, where the identity of the generated…

In this paper, we consider the problem of estimating parameters of a linear regression model. Using a hybrid systems framework, a hybrid algorithm is proposed allowing the estimate to converge to the exact value of the unknown parameters in…

Sparse models for high-dimensional linear regression and machine learning have received substantial attention over the past two decades. Model selection, or determining which features or covariates are the best explanatory variables, is…

We investigate the high-dimensional linear regression problem in the presence of noise correlated with Gaussian covariates. This correlation, known as endogeneity in regression models, often arises from unobserved variables and other…

We provide finite-sample distribution approximations, that are uniform in the parameter, for inference in linear mixed models. Focus is on variances and covariances of random effects in cases where existing theory fails because their…

In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of $N$ independent, identically distributed measurements of an $M$…

The linear regression model is widely used in empirical work in Economics, Statistics, and many other disciplines. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We…

Linear regression is a frequently used tool in statistics, however, its validity and interpretability relies on strong model assumptions. While robust estimates of the coefficients' covariance extend the validity of hypothesis tests and…

The salient properties of large empirical covariance and correlation matrices are studied for three datasets of size 54, 55 and 330. The covariance is defined as a simple cross product of the returns, with weights that decay logarithmically…

We investigate robust linear regression where data may be contaminated by an oblivious adversary, i.e., an adversary than may know the data distribution but is otherwise oblivious to the realizations of the data samples. This model has been…

In this work we construct an optimal linear shrinkage estimator for the covariance matrix in high dimensions. The recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal…

Mixtures of regression are a powerful class of models for regression learning with respect to a highly uncertain and heterogeneous response variable of interest. In addition to being a rich predictive model for the response given some…

Modern technologies are producing a wealth of data with complex structures. For instance, in two-dimensional digital imaging, flow cytometry, and electroencephalography, matrix type covariates frequently arise when measurements are obtained…

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…

Regression on manifolds, and, more broadly, statistics on manifolds, has garnered significant importance in recent years due to the vast number of applications for non Euclidean data. Circular data is a classic example, but so is data in…