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math.ST2019
Improving Lasso for model selection and prediction
Piotr Pokarowski, Wojciech Rejchel, Agnieszka Soltys +2
It is known that the Thresholded Lasso (TL), SCAD or MCP correct intrinsic estimation bias of the Lasso. In this paper we propose an alternative method of improving the Lasso for p…
math.ST2018
Asymptotics of maximum likelihood estimators based on Markov chain Monte Carlo methods
Błażej Miasojedow, Wojciech Niemiro, Wojciech Rejchel
In many complex statistical models maximum likelihood estimators cannot be calculated. In the paper we solve this problem using Markov chain Monte Carlo approximation of the true l…