PROXIMAL ESTIMATION AND INFERENCE
近端估计与推断AI 解读 ↓
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近端估计与推断AI 解读 ↓
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Abstract We develop a convex-analytic framework for constructing and analyzing a broad class of penalized estimators. Our method defines penalized estimators by applying proximal operators to benchmark estimators, rather than by penalizing the benchmark criterion itself. We establish general finite-sample properties, derive unified asymptotic distribution results, and provide tractable conditions for oracle selection and oracle asymptotic efficiency. We then apply the framework to linear regression with irregular designs, including singular and nearly-singular cases. In this setting, where the coefficient vector need not be point identified, we motivate the Ridgeless estimand as the inferential target, construct a n $\sqrt {n}$ StartRoot n EndRoot -consistent modified Ridgeless benchmark estimator, and combine it with adaptive proximal penalization to obtain, to the best of our knowledge, the first penalized estimator achieving the oracle property under both regular and irregular designs.
IV-LASSO 的工具变量字典与惩罚选择
Estimating the first stage of an instrumental variables (IV) model with the least absolute shrinkage and selection operator (LASSO) requires choosing a dictionary of technical instruments and a penalty level. First-order asymptotic theory offers no guidance on these choices, as any consistent implementation yields a structural parameter estimator with the same limiting distribution. In finite samples, however, these choices can have a substantial impact on the resulting…
We propose a structural projection (SP) method for identifying and estimating structural parameters in regression models associated with endogenous regressors. The method projects the structural error onto the sigma-field generated by the regressors, decomposing it into a conditional mean component and an orthogonal residual. This decomposition yields an internally constructed instrument that is valid whenever the conditional mean lies in a known subspace, avoiding the need…
小噪声下维度发散的网络随机微分方程推断
We consider inference for network stochastic differential equations in a small-noise, high-dimensional regime, where the diffusion coefficient vanishes with $\ep\to0$ while the network size and parameter dimension may diverge. We develop a minimum-distance estimation framework based on a deterministic measurement model that may omit nuisance terms in the drift, and derive a non-asymptotic error bound decomposing the estimation error into stochastic fluctuation, nuisance…
空间符号协方差矩阵的高维正则化与稳健形状估计
Covariance estimation is a key component of many applications in system identification and data-driven control. Although heavy-tailed distributions may lack a covariance matrix to estimate, the shape matrix provides a well-defined, scale-free generalization for the broad family of elliptical distributions. In this setting, practitioners often employ Tyler's M-estimator (TME), which is defined implicitly and is computed using a fixed-point iteration. The spatial sign…
面向超高维数据的贝叶斯单变量引导稀疏回归
Ultra-high-dimensional genomic studies require simultaneous identification of sparse signals, control of spurious discoveries, and computationally feasible inference when the number of predictors can reach hundreds of thousands or more. We propose Bayesian Univariate-Guided Sparse Regression (BUGS), a global--local shrinkage framework that incorporates marginal association information directly into the prior through continuous modulation of shrinkage. By embedding univariate…
扰动效用模型的 Fenchel–Young 估计量
Perturbed Utility Models (PUMs) represent discrete choice as utility maximization under convex perturbation or regularization, encompassing a broad class of choice models, including Multinomial Logit (MNL) and models that permit zero choice probabilities. Because, for general perturbations, maximum likelihood may be non-convex, and the negative log-likelihood is infinite when a sparse model assigns zero probability to an observed choice, we specialize the Fenchel--Young…