From Graphical Lasso to Atomic Norms: High-Dimensional Pattern Recovery
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We study high-dimensional precision-matrix estimation with polyhedral atomic-norm penalties on the off-diagonal entries. This framework covers the graphical lasso, $\ell_\infty$-type penalties, SLOPE/OWL penalties, and penalties motivated by colored graphical models. We define the target pattern through the subdifferential face of the dual ball and derive sufficient conditions for exact pattern recovery from the sample covariance matrix. Our analysis introduces two geometric thresholds, a generalized irrepresentability condition, and extends the primal-dual witness method beyond the $\ell_1$ setting. For the graphical lasso, our results yield weaker covariance-deviation requirements and a less restrictive irrepresentability condition than existing theory, leading to sharper asymptotic guarantees. Numerical experiments for several graph topologies show that the resulting bounds are often close to the empirical recovery threshold.
近端估计与推断
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基于相容性的贝叶斯推断:渐近极限、变分原理与 Wasserstein 几何
Approximate Bayesian Computation (ABC) replaces intractable likelihood evaluations with comparisons between observed and simulated data. We develop a measure-theoretic formulation of discrepancy-based Bayesian inference in which compatibility is encoded through nonnegative weights. For vanishing thresholds, we establish convergence of the corresponding posterior distributions in total variation. In the large-sample regime, we identify conditions under which the posterior…
协整回归变量:折叠凹惩罚何时超越 LASSO
LASSO is one of the most popular regularization methods for high-dimensional regression models. While cointegration is common in practical applications of predictive regressions with many regressors, the convex penalty of LASSO overly suppresses the coefficients of cointegrated regressors and therefore fails to deliver consistent parameter estimation. We employ folded concave penalties (FCP), including the well-known SCAD and MCP, to address this issue. Using FCP, we…