Lasso and probabilistic inequalities for multivariate point processes
From MaRDI portal
Abstract: Due to its low computational cost, Lasso is an attractive regularization method for high-dimensional statistical settings. In this paper, we consider multivariate counting processes depending on an unknown function parameter to be estimated by linear combinations of a fixed dictionary. To select coefficients, we propose an adaptive -penalization methodology, where data-driven weights of the penalty are derived from new Bernstein type inequalities for martingales. Oracle inequalities are established under assumptions on the Gram matrix of the dictionary. Nonasymptotic probabilistic results for multivariate Hawkes processes are proven, which allows us to check these assumptions by considering general dictionaries based on histograms, Fourier or wavelet bases. Motivated by problems of neuronal activity inference, we finally carry out a simulation study for multivariate Hawkes processes and compare our methodology with the adaptive Lasso procedure proposed by Zou in (J. Amer. Statist. Assoc. 101 (2006) 1418-1429). We observe an excellent behavior of our procedure. We rely on theoretical aspects for the essential question of tuning our methodology. Unlike adaptive Lasso of (J. Amer. Statist. Assoc. 101 (2006) 1418-1429), our tuning procedure is proven to be robust with respect to all the parameters of the problem, revealing its potential for concrete purposes, in particular in neuroscience.
Recommendations
- Adaptive estimation for Hawkes processes; application to genome analysis
- Adaptive Lasso and group-Lasso for functional Poisson regression
- Oracle inequalities for the Lasso in the high-dimensional Aalen multiplicative intensity model
- Sparse space-time models: concentration inequalities and Lasso
- Nonparametric Bayesian estimation for multivariate Hawkes processes
Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 572281 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- A general class of exponential inequalities for martingales and ratios
- Adaptive Dantzig density estimation
- Adaptive Estimation of Hazard Rate with Censored Data
- Adaptive Lasso for sparse high-dimensional regression models
- Adaptive estimation for Hawkes processes; application to genome analysis
- Adaptive estimation of the conditional intensity of marker-dependent counting processes
- Adaptive estimation of the intensity of inhomogeneous Poisson processes via concentration inequalities
- Adaptive warped kernel estimators
- Aggregation and Sparsity Via ℓ1 Penalized Least Squares
- Aggregation for Gaussian regression
- An Introduction to the Theory of Point Processes
- Covariate selection for semiparametric hazard function regression models
- Deviation probability bound for martingales with applications to statistical estimation
- Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
- Exponential inequalities for self-normalized martingales with applications
- FADO: A Statistical Method to Detect Favored or Avoided Distances between Occurrences of Motifs using the Hawkes' Model
- Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
- High-dimensional additive hazards models and the lasso
- High-dimensional generalized linear models and the lasso
- Maximum likelihood identification of neural point process systems
- Multiscale Poisson Intensity and Density Estimation
- Near optimal thresholding estimation of a Poisson intensity on the real line
- Non-asymptotic theory of random matrices: extreme singular values
- Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
- On Bernstein-type inequalities for martingales.
- On sparse reconstruction from Fourier and Gaussian measurements
- Penalized contrast estimation of density and hazard rate with censored data
- Penalized projection estimators of the Aalen multiplicative intensity
- Point process theory and applications. Marked point and picewise deterministic processes.
- Relaxed Lasso
- Self-Normalized Processes
- Simultaneous analysis of Lasso and Dantzig selector
- Smallest singular value of a random rectangular matrix
- Some limit theorems for Hawkes processes and application to financial statistics
- Some non asymptotic tail estimates for Hawkes processes
- Sparse Density Estimation with ℓ1 Penalties
- Sparsity oracle inequalities for the Lasso
- Stability of nonlinear Hawkes processes
- Statistical models based on counting processes
- Statistics for high-dimensional data. Methods, theory and applications.
- Stochastic kinetic models: dynamic independence, modularity and graphs
- The Adaptive Lasso and Its Oracle Properties
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
- Wavelets, approximation, and statistical applications
Cited in
(53)- Bootstrap and permutation tests of independence for point processes
- Modified log-Sobolev inequality for a compact pure jump Markov process with degenerate jumps
- Mean-field limit of generalized Hawkes processes
- Hawkes processes on large networks
- A consistent and numerically efficient variable selection method for sparse Poisson regression with applications to learning and signal recovery
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- Multivariate Temporal Point Process Regression
- A system of interacting neurons with short term synaptic facilitation
- Time-frequency analysis of locally stationary Hawkes processes
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Statistical inference versus mean field limit for Hawkes processes
- Uncovering causality from multivariate Hawkes integrated cumulants
- Disentangling and quantifying market participant volatility contributions
- Sparse and low-rank multivariate Hawkes processes
- Hawkes processes with variable length memory and an infinite number of components
- Generalized evolutionary point processes: model specifications and model comparison
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
- Oracle inequalities for the Lasso in the high-dimensional Aalen multiplicative intensity model
- Nonparametric Bayesian estimation for multivariate Hawkes processes
- Non-parametric estimation of the spiking rate in systems of interacting neurons
- Alternative asymptotic inference theory for a nonstationary Hawkes process
- Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels
- Multi-class oscillating systems of interacting neurons
- What is the effective sample size of a spatial point process?
- Statistical inference for a partially observed interacting system of Hawkes processes
- Sparse space-time models: concentration inequalities and Lasso
- Surrogate data methods based on a shuffling of the trials for synchrony detection: the centering issue
- Multiple tests based on a Gaussian approximation of the unitary events method with delayed coincidence count
- Adaptive Lasso and group-Lasso for functional Poisson regression
- Towards a mathematical definition of functional connectivity
- Nonparametric estimation of locally stationary Hawkes processes
- Limit theorems and inequalities via martingale methods
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- Group Network Hawkes Process
- The multivariate generalized linear Hawkes process in high dimensions with applications in neuroscience
- High-dimensional additive hazards models and the lasso
- Limit theorems for Hawkes processes including inhibition
- A numerical study of the time of extinction in a class of systems of spiking neurons
- An estimation procedure for the Hawkes process
- Stability, convergence to equilibrium and simulation of non-linear Hawkes processes with memory kernels given by the sum of Erlang kernels
- Exponential moments for Hawkes processes under minimal assumptions
- Renewal in Hawkes processes with self-excitation and inhibition
- Cox process functional learning
- Sparse estimation for generalized exponential marked Hawkes process
- Adaptive estimation for Hawkes processes; application to genome analysis
- Fluctuations for spatially extended Hawkes processes
- The role of volume in order book dynamics: a multivariate Hawkes process analysis
- Spiking neurons: interacting Hawkes processes, mean field limits and oscillations
- Analyzing order flows in limit order books with ratios of Cox-type intensities
- Bayesian estimation of nonlinear Hawkes processes
- Flexible statistical modelling of the occurrences of transcription factor binding sites along a DNA sequence
- Concentration inequalities for matrix martingales in continuous time
- Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes
This page was built for publication: Lasso and probabilistic inequalities for multivariate point processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2345116)
