High-dimensional regression with noisy and missing data: provable guarantees with nonconvexity

DOI10.1214/12-AOS1018zbMath1257.62063arXiv1109.3714MaRDI QIDQ693741

Publication date: 10 December 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3714

zbMATH Keywords

regularization; M-estimation; sparse linear regression

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

65K10: Numerical optimization and variational techniques

68W25: Approximation algorithms

Related Items

Unnamed Item, A Tight Bound of Hard Thresholding, Minimax Optimal Procedures for Locally Private Estimation, Unnamed Item, Unnamed Item, A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection, Unnamed Item, Nonparametric covariance estimation for mixed longitudinal studies, with applications in midlife women's health, Poisson Regression With Error Corrupted High Dimensional Features, An ensemble learning method for variable selection: application to high-dimensional data and missing values, Unnamed Item, An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity, Adaptive Bayesian SLOPE: Model Selection With Incomplete Data, Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models, Inference for high dimensional linear models with error-in-variables, Calibrated zero-norm regularized LS estimator for high-dimensional error-in-variables regression, Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations, Model selection in high-dimensional noisy data: a simulation study, Learning partial differential equations for biological transport models from noisy spatio-temporal data, Optimal Sparse Linear Prediction for Block-missing Multi-modality Data Without Imputation, On Parameter Estimation for High Dimensional Errors-in-Variables Models, Rejoinder, Rejoinder of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation, Performance bounds for parameter estimates of high-dimensional linear models with correlated errors, Asymptotic Properties of Stationary Solutions of Coupled Nonconvex Nonsmooth Empirical Risk Minimization, On Robustness of Principal Component Regression, Unnamed Item, Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages, Estimating the Covariance of Fragmented and Other Related Types of Functional Data, Sharp global convergence guarantees for iterative nonconvex optimization with random data, On high-dimensional Poisson models with measurement error: hypothesis testing for nonlinear nonconvex optimization, Variable selection for high‐dimensional generalized linear model with block‐missing data, The EAS approach for graphical selection consistency in vector autoregression models, A Unified Framework for Change Point Detection in High-Dimensional Linear Models, Screening Methods for Linear Errors-in-Variables Models in High Dimensions, L ₀ -regularization for high-dimensional regression with corrupted data, Sparse estimation in high-dimensional linear errors-in-variables regression via a covariate relaxation method, Double bias correction for high-dimensional sparse additive hazards regression with covariate measurement errors, Kernel Ordinary Differential Equations, Weighted l₁‐Penalized Corrected Quantile Regression for High‐Dimensional Temporally Dependent Measurement Errors, UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK, Multi-Task Learning with High-Dimensional Noisy Images, Concentration of measure bounds for matrix-variate data with missing values, Low-rank matrix estimation via nonconvex optimization methods in multi-response errors-in-variables regression, Optimal nonparametric testing of missing completely at random and its connections to compatibility, Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models, Covariate Selection in High-Dimensional Generalized Linear Models With Measurement Error, Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data, Regularized estimation in sparse high-dimensional time series models, Kernel Knockoffs Selection for Nonparametric Additive Models, Estimation of high-dimensional graphical models using regularized score matching, Greedy algorithms for prediction, Robust inference of risks of large portfolios, An \(\{\ell_{1},\ell_{2},\ell_{\infty}\}\)-regularization approach to high-dimensional errors-in-variables models, \(\ell_{0}\)-penalized maximum likelihood for sparse directed acyclic graphs, Optimal detection of sparse principal components in high dimension, On higher order isotropy conditions and lower bounds for sparse quadratic forms, Weighted \(\ell_1\)-penalized corrected quantile regression for high dimensional measurement error models, Going beyond oracle property: selection consistency and uniqueness of local solution of the generalized linear model, High-dimensional regression with noisy and missing data: provable guarantees with nonconvexity, Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data, Fast global convergence of gradient methods for high-dimensional statistical recovery, Sparse recovery via nonconvex regularized \(M\)-estimators over \(\ell_q\)-balls, Sparse linear models and \(l_1\)-regularized 2SLS with high-dimensional endogenous regressors and instruments, Balanced estimation for high-dimensional measurement error models, The landscape of empirical risk for nonconvex losses, Rate optimal estimation and confidence intervals for high-dimensional regression with missing covariates, Lasso estimation for spherical autoregressive processes, Inference in high dimensional linear measurement error models, Subspace estimation from unbalanced and incomplete data matrices: \({\ell_{2,\infty}}\) statistical guarantees, The generalized equivalence of regularization and min-max robustification in linear mixed models, Estimating high-dimensional covariance and precision matrices under general missing dependence, Scale calibration for high-dimensional robust regression, On consistency and sparsity for high-dimensional functional time series with application to autoregressions, Finite sample theory for high-dimensional functional/scalar time series with applications, On two recent nonconvex penalties for regularization in machine learning, High-dimensional regression with potential prior information on variable importance, Scalable interpretable learning for multi-response error-in-variables regression, Lasso guarantees for \(\beta \)-mixing heavy-tailed time series, Lower bounds for finding stationary points I, Robust subspace clustering, Sparse principal component analysis with missing observations, Confidence sets in sparse regression, Structure estimation for discrete graphical models: generalized covariance matrices and their inverses, On the uniform convergence of empirical norms and inner products, with application to causal inference, Penalised robust estimators for sparse and high-dimensional linear models, Sparse estimation via lower-order penalty optimization methods in high-dimensional linear regression, Oracle Inequalities for Local and Global Empirical Risk Minimizers, Norm statement considered harmful: comment on ‘evolution of unconditional dispersal in periodic environments’

Uses Software

PDCO

Cites Work