75,930 research outputs found
lassopack: Model selection and prediction with regularized regression in Stata
This article introduces lassopack, a suite of programs for regularized
regression in Stata. lassopack implements lasso, square-root lasso, elastic
net, ridge regression, adaptive lasso and post-estimation OLS. The methods are
suitable for the high-dimensional setting where the number of predictors
may be large and possibly greater than the number of observations, . We
offer three different approaches for selecting the penalization (`tuning')
parameters: information criteria (implemented in lasso2), -fold
cross-validation and -step ahead rolling cross-validation for cross-section,
panel and time-series data (cvlasso), and theory-driven (`rigorous')
penalization for the lasso and square-root lasso for cross-section and panel
data (rlasso). We discuss the theoretical framework and practical
considerations for each approach. We also present Monte Carlo results to
compare the performance of the penalization approaches.Comment: 52 pages, 6 figures, 6 tables; submitted to Stata Journal; for more
information see https://statalasso.github.io
Bayesian nonparametric sparse VAR models
High dimensional vector autoregressive (VAR) models require a large number of
parameters to be estimated and may suffer of inferential problems. We propose a
new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional
VAR models that can improve estimation efficiency and prediction accuracy. Our
hierarchical prior overcomes overparametrization and overfitting issues by
clustering the VAR coefficients into groups and by shrinking the coefficients
of each group toward a common location. Clustering and shrinking effects
induced by the BNP-Lasso prior are well suited for the extraction of causal
networks from time series, since they account for some stylized facts in
real-world networks, which are sparsity, communities structures and
heterogeneity in the edges intensity. In order to fully capture the richness of
the data and to achieve a better understanding of financial and macroeconomic
risk, it is therefore crucial that the model used to extract network accounts
for these stylized facts.Comment: Forthcoming in "Journal of Econometrics" ---- Revised Version of the
paper "Bayesian nonparametric Seemingly Unrelated Regression Models" ----
Supplementary Material available on reques
Role of homeostasis in learning sparse representations
Neurons in the input layer of primary visual cortex in primates develop
edge-like receptive fields. One approach to understanding the emergence of this
response is to state that neural activity has to efficiently represent sensory
data with respect to the statistics of natural scenes. Furthermore, it is
believed that such an efficient coding is achieved using a competition across
neurons so as to generate a sparse representation, that is, where a relatively
small number of neurons are simultaneously active. Indeed, different models of
sparse coding, coupled with Hebbian learning and homeostasis, have been
proposed that successfully match the observed emergent response. However, the
specific role of homeostasis in learning such sparse representations is still
largely unknown. By quantitatively assessing the efficiency of the neural
representation during learning, we derive a cooperative homeostasis mechanism
that optimally tunes the competition between neurons within the sparse coding
algorithm. We apply this homeostasis while learning small patches taken from
natural images and compare its efficiency with state-of-the-art algorithms.
Results show that while different sparse coding algorithms give similar coding
results, the homeostasis provides an optimal balance for the representation of
natural images within the population of neurons. Competition in sparse coding
is optimized when it is fair. By contributing to optimizing statistical
competition across neurons, homeostasis is crucial in providing a more
efficient solution to the emergence of independent components
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