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Register a new userRefined Least Squares for Support Recovery
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Added by
Ofir Lindenbaum
Publication date
2021
fields
Mathematical Statistics
and research's language is
English
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We study the problem of exact support recovery based on noisy observations and present Refined Least Squares (RLS). Given a set of noisy measurement $$ myvec{y} = myvec{X}myvec{theta}^* + myvec{omega},$$ and $myvec{X} in mathbb{R}^{N times D}$ which is a (known) Gaussian matrix and $myvec{omega} in mathbb{R}^N$ is an (unknown) Gaussian noise vector, our goal is to recover the support of the (unknown) sparse vector $myvec{theta}^* in left{-1,0,1right}^D$. To recover the support of the $myvec{theta}^*$ we use an average of multiple least squares solutions, each computed based on a subset of the full set of equations. The support is estimated by identifying the most significant coefficients of the average least squares solution. We demonstrate that in a wide variety of settings our method outperforms state-of-the-art support recovery algorithms.
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We study the asymptotic properties of the SCAD-penalized least squares estimator in sparse, high-dimensional, linear regression models when the number of covariates may increase with the sample size. We are particularly interested in the use of this estimator for simultaneous variable selection and estimation. We show that under appropriate conditions, the SCAD-penalized least squares estimator is consistent for variable selection and that the estimators of nonzero coefficients have the same asymptotic distribution as they would have if the zero coefficients were known in advance. Simulation studies indicate that this estimator performs well in terms of variable selection and estimation.
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We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let {S_t^H,t>=0} denote a sub-fractional Brownian motion whose Hurst parameter 1/2<H<1 . The studies are as follows: firstly, two unknown parameters in the model are estimated by the least squares method. Secondly, the strong consistency and the asymptotic distribution of the estimators are studied respectively. Finally, our estimators are validated by numerical simulation.
In a regression setting with response vector $mathbf{y} in mathbb{R}^n$ and given regressor vectors $mathbf{x}_1,ldots,mathbf{x}_p in mathbb{R}^n$, a typical question is to what extent $mathbf{y}$ is related to these regressor vectors, specifically, how well can $mathbf{y}$ be approximated by a linear combination of them. Classical methods for this question are based on statistical models for the conditional distribution of $mathbf{y}$, given the regressor vectors $mathbf{x}_j$. Davies and Duembgen (2020) proposed a model-free approach in which all observation vectors $mathbf{y}$ and $mathbf{x}_j$ are viewed as fixed, and the quality of the least squares fit of $mathbf{y}$ is quantified by comparing it with the least squares fit resulting from $p$ independent white noise regressor vectors. The purpose of the present note is to explain in a general context why the model-based and model-free approach yield the same p-values, although the interpretation of the latter is different under the two paradigms.
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