arXiv subjects

Yunquan Song

Publications and source records attributed to Yunquan Song.

4 recordsLinked to original sources

arXiv2025

Robust Variable Selection for High-dimensional Regression with Missing Data and Measurement Errors

In our paper, we focus on robust variable selection for missing data and measurement error. Missing data and measurement errors can lead to confusing data distribution. We propose an exponential loss function with a tuning parameter to apply to Missing and measurement errors data. By adjusting the parameter, the loss function can be better and more robust under various data distributions. We use inverse probability weighting and additive error models to address missing data and measurement errors. Also, we find that the Atan punishment method works better. We used Monte Carlo simulations to assess the validity of robust variable selection and validated our findings with the breast cancer dataset.

stat.ME↗

arXiv2021

Interquantile Shrinkage in Spatial Quantile Autoregressive Regression models

Spatial dependent data frequently occur in many fields such as spatial econometrics and epidemiology. To deal with the dependence of variables and estimate quantile-specific effects by covariates, spatial quantile autoregressive models (SQAR models) are introduced. Conventional quantile regression only focuses on the fitting models but ignores the examination of multiple conditional quantile functions, which provides a comprehensive view of the relationship between the response and covariates. Thus, it is necessary to study the different regression slopes at different quantiles, especially in situations where the quantile coefficients share some common feature. However, traditional Wald multiple tests not only increase the burden of computation but also bring greater FDR. In this paper, we transform the estimation and examination problem into a penalization problem, which estimates the parameters at different quantiles and identifies the interquantile commonality at the same time. To avoid the endogeneity caused by the spatial lag variables in SQAR models, we also introduce instrumental variables before estimation and propose two-stage estimation methods based on fused adaptive LASSO and fused adaptive sup-norm penalty approaches. The oracle properties of the proposed estimation methods are established. Through numerical investigations, it is demonstrated that the proposed methods lead to higher estimation efficiency than the traditional quantile regression.

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arXiv2019

Online Newton Step Algorithm with Estimated Gradient

Online learning with limited information feedback (bandit) tries to solve the problem where an online learner receives partial feedback information from the environment in the course of learning. Under this setting, Flaxman et al.[8] extended Zinkevich's classical Online Gradient Descent (OGD) algorithm [29] by proposing the Online Gradient Descent with Expected Gradient (OGDEG) algorithm. Specifically, it uses a simple trick to approximate the gradient of the loss function $f_t$ by evaluating it at a single point and bounds the expected regret as $\mathcal{O}(T^{5/6})$ [8], where the number of rounds is $T$. Meanwhile, past research efforts have shown that compared with the first-order algorithms, second-order online learning algorithms such as Online Newton Step (ONS) [11] can significantly accelerate the convergence rate of traditional online learning algorithms. Motivated by this, this paper aims to exploit the second-order information to speed up the convergence of the OGDEG algorithm. In particular, we extend the ONS algorithm with the trick of expected gradient and develop a novel second-order online learning algorithm, i.e., Online Newton Step with Expected Gradient (ONSEG). Theoretically, we show that the proposed ONSEG algorithm significantly reduces the expected regret of OGDEG algorithm from $\mathcal{O}(T^{5/6})$ to $\mathcal{O}(T^{2/3})$ in the bandit feedback scenario. Empirically, we further demonstrate the advantages of the proposed algorithm on multiple real-world datasets.

cs.LG↗

arXiv2014

Upper expectation parametric regression

Every observation may follow a distribution that is randomly selected in a class of distributions. It is called the distribution uncertainty. This is a fact acknowledged in some research fields such as financial risk measure. Thus, the classical expectation is not identifiable in general.In this paper, a distribution uncertainty is defined, and then an upper expectation regression is proposed, which can describe the relationship between extreme events and relevant covariates under the framework of distribution uncertainty. As there are no classical methods available to estimate the parameters in the upper expectation regression, a two-step penalized maximum least squares procedure is proposed to estimate the mean function and the upper expectation of the error. The resulting estimators are consistent and asymptotically normal in a certain sense.Simulation studies and a real data example are conducted to show that the classical least squares estimation does not work and the penalized maximum least squares performs well.

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