A note on spurious model selection

A Note on the Lasso for Gaussian Graphical Model Selection

Inspired by the success of the Lasso for regression analysis (Tibshirani, 1996), it seems attractive to estimate the graph of a multivariate normal distribution by `1-norm penalised likelihood maximisation. The objective function is convex and the graph estimator can thus be computed efficiently, even for very large graphs. However, we show in this note that the resulting estimator is not consi...

A note on model selection in ( time series ) regression models -

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

Spurious phase in a model for traffic on a bridge

We present high-precision Monte Carlo data for the phase diagram of a two-species driven diffusive system, reminiscent of traffic across a narrow bridge. Earlier studies reported two phases with broken symmetry; the existence of one of these has been the subject of some debate. We show that the disputed phase disappears for sufficiently large systems and/or sufficiently low bulk mobility. Cente...

Lecture Note: Self-Selection — The Roy Model

A Note on Column Subset Selection

Given a matrix U , using a deterministic method, we extract a "large" submatrix of Ũ (whose columns are obtained by normalizing those of U ) and estimate its smallest and largest singular value. We apply this result to the study of contact points of the unit ball with its maximal volume ellipsoid. We consider also the paving problem and give a deterministic algorithm to partition a matrix into ...