BACKGROUND The case-crossover design is an attractive alternative to the classical case-control design which can be used to study the onset of acute events if the risk factors of interest vary in time. By comparing exposures within cases at different time periods, the case-crossover design does not rely on control subjects which can be difficult to acquire. However, using the standard method of...

We present multivariate penalized least squares regression estimates. We use Vapnik{ Chervonenkis theory and bounds on the covering numbers to analyze convergence of the estimates. We show strong consistency of the truncated versions of the estimates without any conditions on the underlying distribution.

This paper studies oracle properties of !1-penalized least squares in nonparametric regression setting with random design. We show that the penalized least squares estimator satisfies sparsity oracle inequalities, i.e., bounds in terms of the number of non-zero components of the oracle vector. The results are valid even when the dimension of the model is (much) larger than the sample size and t...

We extend the correspondence between two-stage coding procedures in data compression and penalized likelihood procedures in statistical estimation. Traditionally, this had required restriction to countable parameter spaces. We show how to extend this correspondence in the uncountable parameter case. Leveraging the description length interpretations of penalized likelihood procedures we devise n...

Recently, penalized regression methods have attracted much attention in the statistical literature. In this article, we argue that such methods can be improved for the purposes of prediction by utilizing model averaging ideas. We propose a new algorithm that combines penalized regression with model averaging for improved prediction. We also discuss the issue of model selection versus model aver...

Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endogeneity can arise incidentally from a large pool of regressors in a high-dimensional regression. This causes the inconsistency of the penalized least-squares method and possible false scientific discoveries. A necessary...

In general, linearity is assumed to hold in multivariate calibration (MVC), but this may not be true. We approach the MVC problem using multidimensional penalized signal regression, which can be extended with an explicit link function between linear prediction and response and in the spirit of single-index models. As the twodimensional surface of calibration coefficients is smoothly and general...

We propose and study a new iterative coordinate descent algorithm (QICD) for solving nonconvex penalized quantile regression in high dimension. By permitting different subsets of covariates to be relevant for modeling the response variable at different quantiles, nonconvex penalized quantile regression provides a flexible approach for modeling high-dimensional data with heterogeneity. Although ...

Model selection procedures for simultaneous analysis of all single-nucleotide polymorphisms in genome-wide association studies are most suitable for making full use of the data for a complex disease study. In this paper we consider a penalized regression using the LASSO procedure and show that post-processing of the penalized-regression results with subsequent stepwise selection may lead to imp...

We applied a penalized regression approach to single-nucleotide polymorphisms in regions on chromosomes 1, 6, and 9 of the North American Rheumatoid Arthritis Consortium data. Results were compared with a standard single-locus association test. Overall, the penalized regression approach did not appear to offer any advantage with respect to either detection or localization of disease-associated ...