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We consider the group lasso penalty for the linear model. We note that the standard algorithm for solving the problem assumes that the model matrices in each group are orthonormal. Here we consider a ...
It is shown that robust stability and robust performance questions for control systems with nonparametric uncertainties can be turned into those with a particularly simple parametric description. It i...
A note on insufficiency and the preservation of Fisher information
Fisher information Hellinger differentiability of probability models differentiability in quadratic mean score function
2011/9/15
Abstract: Kagan and Shepp (2005, Amer. Statist.) presented an elegant example of a mixture model for which an insufficient statistic preserves Fisher information. This note uses the regularity propert...
A note on a maximal Bernstein inequality
Bernstein inequality dependent sums maximal inequality mixing partial sums
2011/9/13
Abstract: We show somewhat unexpectedly that whenever a general Bernstein-type maximal inequality holds for partial sums of a sequence of random variables, a maximal form of the inequality is also val...
A Note on a Characterization of Rényi Measures and its Relation to Composite Hypothesis Testing
Characterization of Rényi Measures Relation Composite Hypothesis Testing
2011/2/24
The R´enyi information measures are characterized in terms of their Shannon counterparts, and properties of the former are recovered from first principle via the associated properties of the lat...