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2 Results for: Author: Lu, Huanran
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- articleJanuary 2015
A direct estimation of high dimensional stationary vector autoregressions
The vector autoregressive (VAR) model is a powerful tool in learning complex time series and has been exploited in many fields. The VAR model poses some unique challenges to researchers: On one hand, the dimensionality, introduced by incorporating ...
- ArticleDecember 2014
Tighten after relax: minimax-optimal sparse PCA in polynomial time
NIPS'14: Proceedings of the 28th International Conference on Neural Information Processing Systems - Volume 2Pages 3383–3391We provide statistical and computational analysis of sparse Principal Component Analysis (PCA) in high dimensions. The sparse PCA problem is highly nonconvex in nature. Consequently, though its global solution attains the optimal statistical rate of ...