35 citations · 95 across the 23 of their papers we have counts for
4 papers · 1 filter
A global-local approach for detecting hotspots in multiple-response regression
Hélène Ruffieux, Anthony C. Davison, Jörg Hager +4
We tackle modelling and inference for variable selection in regression problems with many predictors and many responses. We focus on detecting hotspots, i.e., predictors associated…
Shrinkage estimation of large covariance matrices using multiple shrinkage targets
Harry Gray, Gwenaël G. R. Leday, Catalina A. Vallejos +1
Linear shrinkage estimators of a covariance matrix --- defined by a weighted average of the sample covariance matrix and a pre-specified shrinkage target matrix --- are popular whe…
High-dimensional regression in practice: an empirical study of finite-sample prediction, variable selection and ranking
Fan Wang, Sach Mukherjee, Sylvia Richardson +1
Penalized likelihood approaches are widely used for high-dimensional regression. Although many methods have been proposed and the associated theory is now well-developed, the relat…
Fast Bayesian inference in large Gaussian graphical models
Gwenaël G. R. Leday, Sylvia Richardson
Despite major methodological developments, Bayesian inference for Gaussian graphical models remains challenging in high dimension due to the tremendous size of the model space. Thi…