Semi-analytic resampling in Lasso

MaRDI QIDQ5381124zbMATH OpenFDO

Authors Tomoyuki Obuchi, Yoshiyuki Kabashima

Publication date 7 June 2019

Full work available at URL https://arxiv.org/abs/1802.10254, http://jmlr.csail.mit.edu/papers/v20/18-109.html

zbMATH Keywords

bootstrap methodLassomessage passing algorithmreplica methodvariable selection

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Bootstrapping Lasso estimators
• Random lasso
• Bootstrapping Lasso-type estimators in regression models
• Semi-analytic approximate stability selection for correlated data in generalized linear models
• Asymptotic properties of the residual bootstrap for lasso estimators

Cites work

• 10.1162/1532443041827899
• A CDMA multiuser detection algorithm on the basis of belief propagation
• A significance test for the lasso
• A statistical mechanics approach to de-biasing and uncertainty estimation in Lasso for random measurements
• Approximately unbiased tests of regions using multistep-multiscale bootstrap resampling
• Asymptotics for Lasso-type estimators.
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• Debiasing the Lasso: optimal sample size for Gaussian designs
• Expectation consistent approximate inference
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• Hypothesis Testing in High-Dimensional Regression Under the Gaussian Random Design Model: Asymptotic Theory
• Introduction to the replica theory of disordered statistical systems
• Lasso-type recovery of sparse representations for high-dimensional data
• Mutual Information and Optimality of Approximate Message-Passing in Random Linear Estimation
• Note on “Comparison of Model Selection for Regression” by Vladimir Cherkassky and Yunqian Ma
• On the Convergence of Approximate Message Passing With Arbitrary Matrices
• On the Non-Negative Garrotte Estimator
• Probabilistic data modelling with adaptive TAP mean-field theory
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• Sparse Approximate Solutions to Linear Systems
• Sparse inverse covariance estimation with the graphical lasso
• Stability selection. With discussion and authors' reply
• Statistical Physics of Spin Glasses and Information Processing
• Symmetric Measures on Cartesian Products
• The Dynamics of Message Passing on Dense Graphs, with Applications to Compressed Sensing
• Vector Approximate Message Passing

Cited in

(4)

• The use of vector bootstrapping to improve variable selection precision in Lasso models
• AMPR
• 10.1162/1532443041827899
• Semi-analytic approximate stability selection for correlated data in generalized linear models

Describes a project that uses

Uses Software

• Bolasso
• Matlab
• UCI

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