相关论文: "Pre-conditioning" for feature selection and regre…

In recent years, there is a growing interest in combining techniques attributed to the areas of Statistics and Machine Learning in order to obtain the benefits of both approaches. In this article, the statistical technique lasso for…

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…

We propose an approach for learning the causal structure in stochastic dynamical systems with a $1$-step functional dependency in the presence of latent variables. We propose an information-theoretic approach that allows us to recover the…

Data science has the potential to improve business in a variety of verticals. While the lion's share of data science projects uses a predictive approach, to drive improvements these predictions should become decisions. However, such a…

Datasets containing both categorical and continuous variables are frequently encountered in many areas, and with the rapid development of modern measurement technologies, the dimensions of these variables can be very high. Despite the…

In this work, we developed a new Bayesian method for variable selection in function-on-scalar regression (FOSR). Our method uses a hierarchical Bayesian structure and latent variables to enable an adaptive covariate selection process for…

Given a sample covariance matrix, we solve a maximum likelihood problem penalized by the number of nonzero coefficients in the inverse covariance matrix. Our objective is to find a sparse representation of the sample data and to highlight…

Prediction for very large data sets is typically carried out in two stages, variable selection and pattern recognition. Ordinarily variable selection involves seeing how well individual explanatory variables are correlated with the…

In high-dimensional statistical inference in which the number of parameters to be estimated is larger than that of the holding data, regularized linear estimation techniques are widely used. These techniques have, however, some drawbacks.…

Modern approaches to perform Bayesian variable selection rely mostly on the use of shrinkage priors. That said, an ideal shrinkage prior should be adaptive to different signal levels, ensuring that small effects are ruled out, while keeping…

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…

Sparse regression is frequently employed in diverse scientific settings as a feature selection method. A pervasive aspect of scientific data that hampers both feature selection and estimation is the presence of strong correlations between…

Variable selection is a procedure to attain the truly important predictors from inputs. Complex nonlinear dependencies and strong coupling pose great challenges for variable selection in high-dimensional data. In addition, real-world…

We consider the problem of variable selection in regression models. In particular, we are interested in selecting explanatory covariates linked with the response variable and we want to determine which covariates are relevant, that is which…

The lasso is a popular tool for sparse linear regression, especially for problems in which the number of variables p exceeds the number of observations n. But when p>n, the lasso criterion is not strictly convex, and hence it may not have a…

In data sets with many predictors, algorithms for identifying a good subset of predictors are often used. Most such algorithms do not account for any relationships between predictors. For example, stepwise regression might select a model…

Although conceptually related, variable selection and relative importance (RI) analysis have been treated quite differently in the literature. While RI is typically used for post-hoc model explanation, this paper explores its potential for…

Variable selection is one of the most important tasks in statistics and machine learning. To incorporate more prior information about the regression coefficients, the constrained Lasso model has been proposed in the literature. In this…

We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the…