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stat.ME2025
Autotune: fast, accurate, and automatic tuning parameter selection for Lasso
Tathagata Sadhukhan, Ines Wilms, Stephan Smeekes +1
Least absolute shrinkage and selection operator (Lasso), the popular variable selection engine for high-dimensional regression, is commonly tuned using cross-validation (CV). This…
stat.ME2025
Outlier detection in state-space models using mean-shift penalisation
Rajan Shankar, Ines Wilms, Jakob Raymaekers +1
State-space models (SSMs) provide a flexible framework for modelling time series data, but their reliance on Gaussian error assumptions makes them highly sensitive to outliers. We…