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math.ST2025
Signal-to-noise ratio aware minimax analysis of sparse linear regression
Shubhangi Ghosh, Yilin Guo, Haolei Weng +1
We consider parameter estimation under sparse linear regression -- an extensively studied problem in high-dimensional statistics and compressed sensing. While the minimax framework…
math.ST2019
Computing the degrees of freedom of rank-regularized estimators and cousins
Rahul Mazumder, Haolei Weng
Estimating a low rank matrix from its linear measurements is a problem of central importance in contemporary statistical analysis. The choice of tuning parameters for estimators re…
math.ST2019
Optimal estimation of functionals of high-dimensional mean and covariance matrix
Jianqing Fan, Haolei Weng, Yifeng Zhou
Motivated by portfolio allocation and linear discriminant analysis, we consider estimating a functional involving both the mean vector $\mathbfμ…