Year: 2018
Type: preprint
Abstract: The article considers the problem of estimating a high-dimensional sparse parameter in the presence of side information that encodes the sparsity structure. We develop a general framework that involves first using an auxiliary sequence to capture the side information, and then incorporating the auxiliary sequence in inference to reduce the estimation risk. The proposed method, which carries out adaptive SURE-thresholding using side information (ASUS), is shown to have robust performance and enjoy optimality properties. We develop new theories to characterize regimes in which ASUS far outperforms competitive shrinkage estimators, and establish precise conditions under which ASUS is asymptotically optimal. Simulation studies are conducted to show that ASUS substantially improves the performance of existing methods in many settings. The methodology is applied for analysis of data from single cell virology studies and microarray time course experiments.
Source: arXiv (Cornell University)
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Awards: Collaborative Research: Integrative Large-Scale Data Analysis and Statistical Inference, Optimal Shrinkage and Empirical Bayes Prediction under Asymmetry, Censoring and Nonexchangeability, CAREER: Simultaneous and Sequential Inference of High-dimensional Data with Sparse Structure, G6671297155
OpenAlex ID: W2902017412