We present a short selective review of causal inference from observational data, with a particular emphasis on the high-dimensional scenario where the number of measured variables may be much larger than sample size. Despite major identifiability problems, making causal inference from...

Random Forests in combination with Stability Selection allow to estimate stable conditional independence graphs with an error control mechanism for false positive selection. This approach is applicable to graphs containing both continuous and discrete variables at the same time. Its performance...

type="main" xml:id="rssb12017-abs-0001" <title type="main">Summary</title> <p>The ultimate goal of regression analysis is to obtain information about the conditional distribution of a response given a set of explanatory variables. This goal is, however, seldom achieved because most established regression models estimate only...</p>

type="main" xml:id="rssb12071-abs-0001" <title type="main">Summary</title> <p>In many applications we have both observational and (randomized) interventional data. We propose a Gaussian likelihood framework for joint modelling of such different data types, based on global parameters consisting of a directed acyclic graph and...</p>

We review variable selection and variable screening in high-dimensional linear models. Thereby, a major focus is an empirical comparison of various estimation methods with respect to true and false positive selection rates based on 128 different sparse scenarios from semi-real data (real data...

As a powerful tool for analyzing full conditional (in-)dependencies between random variables, graphical models have become increasingly popular to infer genetic networks based on gene expression data. However, full (unconstrained) conditional relationships between random variables can be only...

We propose a flexible generalized auto-regressive conditional heteroscedasticity type of model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate "B"-splines of lagged observations and volatilities. Estimation of such a "B"-spline...

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

The group lasso is an extension of the lasso to do variable selection on (predefined) groups of variables in linear regression models. The estimates have the attractive property of being invariant under groupwise orthogonal reparameterizations. We extend the group lasso to logistic regression...