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Estimation and Accuracy after Model Selection
model averaging Cp, Lasso bagging bootstrap smoothing
2015/8/20
Classical statistical theory ignores model selection in assessing estimation accuracy. Here we consider
bootstrap methods for computing standard errors and con dence intervals that take model selecti...
Classical statistical theory ignores model selection in assessing estimation accuracy. Here we consider
bootstrap methods for computing standard errors and con dence intervals that take model selecti...
Near-ideal model selection by `1 minimization
Model selection oracle inequalities the lasso compressed sensing incoherence eigenvalues of random matrices
2015/6/17
We consider the fundamental problem of estimating the mean of a vector y = Xβ + z, where X is an n× p design matrix in which one can have far more variables than observations and z is a stochastic err...
Discussion of “Latent Variable Graphical Model Selection via Convex Optimization”
Latent Variable Graphical Model Selection Convex Optimization
2015/6/17
We wish to congratulate the authors for their innovative contribution, which is bound to inspire much further research. We find latent variable model selection to be a fantastic application of matrix ...
An adaptive sequential optimum design for model selection and parameter estimation in non-linear nested models
D-optimality KL-optimality DKL-optimality log-likelihood ratio test stochastic convergence sequential optimum design
2011/10/9
Abstract: This work propose a sequential procedure which is useful to select the best model among several nested non-linear models and to estimate efficiently the parameters of the chosen model. At ea...
High-Dimensional Gaussian Graphical Model Selection: Tractable Graph Families
Gaussian graphical model selection high-dimensional learning local-separation property walk-summability
2011/9/29
Abstract: We consider the problem of high-dimensional Gaussian graphical model selection. We identify a set of graphs for which an efficient estimation algorithm exists, and this algorithm is based on...
Model selection by LASSO methods in a change-point model
LASSO change-points selection criterion asymptotic behavior oracle properties
2011/8/25
Abstract: The paper considers a linear regression model with multiple change-points occurring at unknown times. The LASSO technique is very interesting since it allows the parametric estimation, inclu...