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The lasso penalizes a least squares regression by the sum of the absolute values (L1-norm) of the coefficients. The form of this penalty encourages sparse solutions (with many coefficients equal to 0).We propose the ‘fused lasso’, a generalization that is designed for problems with features that can be ordered in some meaningful way. The fused lasso(More)
Boosting has been a very successful technique for solving the two-class classification problem. In going from two-class to multi-class classification, most algorithms have been restricted to reducing the multi-class classification problem to multiple two-class problems. In this paper, we develop a new algorithm that directly extends the AdaBoost algorithm(More)
The paper proposes a method for constructing a sparse estimator for the inverse covariance (concentration) matrix in high-dimensional settings. The estimator uses a penalized normal likelihood approach and forces sparsity by using a lasso-type penalty. We establish a rate of convergence in the Frobenius norm as both data dimension p and sample size n are(More)
We consider the generic regularized optimization problem β̂(λ) = arg minβ L(y,Xβ) + λJ (β). Efron, Hastie, Johnstone and Tibshirani [Ann. Statist. 32 (2004) 407–499] have shown that for the LASSO—that is, if L is squared error loss and J (β)= ‖β‖1 is the 1 norm of β—the optimal coefficient path is piecewise linear, that is, ∂β̂(λ)/∂λ is piecewise constant.(More)
We propose a procedure for constructing a sparse estimator of a multivariate regression coefficient matrix that accounts for correlation of the response variables. This method, which we call multivariate regression with covariance estimation (MRCE), involves penalized likelihood with simultaneous estimation of the regression coefficients and the covariance(More)
In this paper we study boosting methods from a new perspective. We build on recent work by Efron et al. to show that boosting approximately (and in some cases exactly) minimizes its loss criterion with an l1 constraint on the coefficient vector. This helps understand the success of boosting with early stopping as regularized fitting of the loss criterion.(More)
MOTIVATION The standard L(2)-norm support vector machine (SVM) is a widely used tool for microarray classification. Previous studies have demonstrated its superior performance in terms of classification accuracy. However, a major limitation of the SVM is that it cannot automatically select relevant genes for the classification. The L(1)-norm SVM is a(More)