In family studies with multiple continuous phenotypes, heritability can be conveniently evaluated through the so-called principal-component of heredity (PCH, for short; Ott and Rabinowitz in Hum Hered 49:106–111, <CitationRef CitationID="CR12">1999</CitationRef>). Estimation of the PCH, however, is notoriously difficult when entertaining...</citationref>

We consider the problem of selecting grouped variables (factors) for accurate prediction in regression. Such a problem arises naturally in many practical situations with the multifactor analysis-of-variance problem as the most important and well-known example. Instead of selecting factors by...

We propose penalized likelihood methods for estimating the concentration matrix in the Gaussian graphical model. The methods lead to a sparse and shrinkage estimator of the concentration matrix that is positive definite, and thus conduct model selection and estimation simultaneously. The...

We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems, we only observe option prices and their corresponding strike prices rather than samples from the state price density. We propose to model the state price...

We study the non-negative garrotte estimator from three different aspects: consistency, computation and flexibility. We argue that the non-negative garrotte is a general procedure that can be used in combination with estimators other than the original least squares estimator as in its original...