4 papers · 1 filter
Debiasing the Lasso under Weaker Tail Assumptions
Leonardo Voltarelli, Roberto Imbuzeiro Oliveira
We consider the problem of high-dimensional inference with the lasso estimator. Different methods including 'double selection' techniques and multiple versions of the 'debiased las…
Nonparametric inference on Fokker-Plank and McKean-Vlasov models
Adriana Laurindo Monteiro, Roberto Imbuzeiro Oliveira
We propose a kernel-based estimator of the velocity field governing the transport and diffusion of -dimensional interacting particles. Assuming the initial positions are i.i.d.…
Trimmed sample means for robust uniform mean estimation and regression
Roberto I. Oliveira, Lucas Resende
It is well-known that trimmed sample means are robust against heavy tails and data contamination. This paper analyzes the performance of trimmed means and related methods in two no…
Split Conformal Prediction and Non-Exchangeable Data
Roberto I. Oliveira, Paulo Orenstein, Thiago Ramos +1
Split conformal prediction (CP) is arguably the most popular CP method for uncertainty quantification, enjoying both academic interest and widespread deployment. However, the origi…