arXiv research

New rules reduce SLOPE model fitting time by screening out irrelevant variables.

A new screening rule improves SLOPE efficiency for high-dimensional data.

Efficient packages solve SLOPE problem in multiple languages.

A new fast algorithm solves SLOPE optimization problem.

Study interior estimates for solutions of Poisson equation on Riemann surfaces.

We prove a quantitative estimate, with a power saving error term, for the number of simple closed geodesics of length at most $L$ on a compact surface equipped with a Riemannian metric of negative curvature. The proof relies on the exponential mixing rate for the Teichmüller geodesic flow.

Sparse-penalized deep neural networks improve performance in weakly dependent processes.

In high-dimensional data analysis, penalized likelihood estimators are shown to provide superior results in both variable selection and parameter estimation. A new algorithm, APPLE, is proposed for calculating the Approximate Path for Penalized Likelihood Estimators. Both the convex penalty (such as LASSO) and the nonc…

In this paper, we propose a new estimation procedure for discovering the structure of Gaussian Markov random fields (MRFs) with false discovery rate (FDR) control, making use of the sorted l1-norm (SL1) regularization. A Gaussian MRF is an acyclic graph representing a multivariate Gaussian distribution, where nodes are…

Unified framework for pattern recovery in penalized and thresholded estimation.

In this paper, we study the performance of extremum estimators from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. By adapting the classical concentration inequalities, we derive upper bounds on the empirical out-of-sample prediction e…

Corrects GCV for inconsistent risk estimation in finite ensembles of penalized estimators.

We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function…

Study nonparametric density estimation via measure transport, achieving optimal rates.

Develops a method to predict stock returns with time-varying risk premia.

The paper develops adaptive deep learning methods for nonlinear time series models.

Paper estimates differences in multi-attribute Gaussian graphical models using non-convex penalties.

Folded concave penalization methods have been shown to enjoy the strong oracle property for high-dimensional sparse estimation. However, a folded concave penalization problem usually has multiple local solutions and the oracle property is established only for one of the unknown local solutions. A challenging fundamenta…

In many applications, multivariate samples may harbor previously unrecognized heterogeneity at the level of conditional independence or network structure. For example, in cancer biology, disease subtypes may differ with respect to subtype-specific interplay between molecular components. Then, both subtype discovery and…

Penalized estimation can conduct variable selection and parameter estimation simultaneously. The general framework is to minimize a loss function subject to a penalty designed to generate sparse variable selection. The majorization-minimization (MM) algorithm is a computational scheme for stability and simplicity, and …

We propose in this contribution a method for l one regularization in prototype based relevance learning vector quantization (LVQ) for sparse relevance profiles. Sparse relevance profiles in hyperspectral data analysis fade down those spectral bands which are not necessary for classification. In particular, we consider …

Existing methods for sparse channel estimation typically provide an estimate computed as the solution maximizing an objective function defined as the sum of the log-likelihood function and a penalization term proportional to the l1-norm of the parameter of interest. However, other penalization terms have proven to have…

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 high-dimensional statistical problems. In this article, we consider a class of weigh…

In this paper, we study eigenvalues of the closed eigenvalue problem of the differential operator $L$, which is introduced by Colding and Minicozzi in [4], on an $n$-dimensional compact self-shrinker in ${R}^{n+p}$. Estimates for eigenvalues of the differential operator $L$ are obtained. Our estimates for eigenvalues…

Proposes a new robust expectile regression method for high-dimensional data.

Paper discusses prediction errors for penalized regressions using GAMP and LOOCV.

2-level SLOPE improves high-dimensional inference with fewer hyperparameters.

The paper develops a deep neural network estimator for weakly dependent processes with various loss functions.

Paper develops PGMM framework for debiased inference on nonparametric IV estimators.

CP degeneracy affects tensor regression solutions, especially in high dimensions.

SPPCSO addresses multicollinearity in high-dimensional data, improving model stability and predictive accuracy.

AgFlow speeds up model selection in penalized PCA.

The problem of low-rank matrix estimation recently received a lot of attention due to challenging applications. A lot of work has been done on rank-penalized methods and convex relaxation, both on the theoretical and applied sides. However, only a few papers considered Bayesian estimation. In this paper, we review the …

Paper introduces structured sparsity estimators for Generalized Linear Models.

The least absolute shrinkage and selection operator (lasso) and ridge regression produce usually different estimates although input, loss function and parameterization of the penalty are identical. In this paper we look for ridge and lasso models with identical solution set. It turns out, that the lasso model with shri…

For a very ample line bundle L on a compact connected complex manifold X, with a real structure, we discuss entanglement properties of certain sequences of vectors in tensor products of spaces of holomorphic sections of powers of L.

We prove that L2-Boosting lacks a theoretical property which is central to the behaviour of l1-penalized methods such as basis pursuit and the Lasso: Whereas l1-penalized methods are guaranteed to recover the sparse parameter vector in a high-dimensional linear model under an appropriate restricted nullspace property, …

Confidence intervals based on penalized maximum likelihood estimators such as the LASSO, adaptive LASSO, and hard-thresholding are analyzed. In the known-variance case, the finite-sample coverage properties of such intervals are determined and it is shown that symmetric intervals are the shortest. The length of the sho…

FILTER model uses fusion penalized logistic threshold regression for high-dimensional data with unknown cut points.

It has been shown that AIC-type criteria are asymptotically efficient selectors of the tuning parameter in non-concave penalized regression methods under the assumption that the population variance is known or that a consistent estimator is available. We relax this assumption to prove that AIC itself is asymptotically …

Estimates parameters of interconnected linear systems using total variation penalization.

Develops a fast algorithm for high-dimensional LASSO penalized quantile regression.

We show that the number of simple closed geodesics of length bounded by L on a hyperbolic surface of genus g with c cusps and b boundary components grows roughly like L^{6g+2b+2c-6}. This has been conjectured for some time.

In this paper we study nonconvex penalization using Bernstein functions. Since the Bernstein function is concave and nonsmooth at the origin, it can induce a class of nonconvex functions for high-dimensional sparse estimation problems. We derive a threshold function based on the Bernstein penalty and give its mathemati…

Understanding efficiency in high dimensional linear models is a longstanding problem of interest. Classical work with smaller dimensional problems dating back to Huber and Bickel has illustrated the benefits of efficient loss functions. When the number of parameters $p$ is of the same order as the sample size $n$, $p \…

The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where …

New method estimates mixture model components efficiently.

The paper discusses methods for interval estimation of coefficients in penalized regression models for insurance data.