Leda Liang

wildly under-viewed interviews that rob tibshirani conducted over the past year for a reading course. really interesting discussions with Don Rubin, Jamie Robins, Jerry Friedman, Vladimir Vovk, and others www.youtube.com/@LedaLiang/v...

Univariate-Guided Sparse Regression

We are excited to share the publication of our new paper "Univariate-guided sparse regression", with commentary by Larry Wasserman, Bin Yu, Lucas Janson, Cynthia Rudin and others.
hdsr.mitpress.mit.edu/pub/3i97j340...
Comments welcome!

Univariate-Guided Sparse Regression In this paper, we introduce ``UniLasso'' -- a novel statistical method for sparse regression. This two-stage approach preserves the signs of the univariate coefficients and leverages their magnitude. ...

I am happy to announce our new paper "Univariate-guided sparse regression". It's a new lasso that leverages the signs and magnitude of univariate coefficients .
Sparser and more interpretable than the lasso. We're excited! arxiv.org/abs/2501.18360
R: github.com/trevorhastie...