2 papers
stat.ME2021
High-dimensional regression with potential prior information on variable importance
Benjamin G. Stokell, Rajen D. Shah
There are a variety of settings where vague prior information may be available on the importance of predictors in high-dimensional regression settings. Examples include ordering on…
stat.ME2020
Modelling High-Dimensional Categorical Data Using Nonconvex Fusion Penalties
Benjamin G. Stokell, Rajen D. Shah, Ryan J. Tibshirani
We propose a method for estimation in high-dimensional linear models with nominal categorical data. Our estimator, called SCOPE, fuses levels together by making their corresponding…