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math.ST2025
Variable selection via thresholding
Ka Long Keith Ho, Hien Duy Nguyen
Variable selection comprises an important step in many modern statistical inference procedures. In the regression setting, when estimators cannot shrink irrelevant signals to zero,…
math.ST2025
Adaptive Ridge Approach to Heteroscedastic Regression
Ka Long Keith Ho, Hiroki Masuda
We propose an adaptive ridge (AR) estimation scheme for a heteroscedastic linear regression model with log-linear noise in data. We simultaneously estimate the mean and variance pa…