Montag, 16. Mai 2022, 16:45 - 17:45 iCal

ISOR Colloquium

"Estimating the lasso's effective noise"

Speaker: Michael Vogt (Ulm University)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien


One of the most prominent methods in high-dimensional statistics is the lasso. Much of the theory for the lasso in the high-dimensional linear model hinges on the so-called effective noise. Among other things, the effective noise plays an important role in finite-sample bounds for the lasso, the calibration of the lasso's tuning parameter, and inference on the unknown parameter vector. In the talk, we develop a bootstrap-based estimator of the quantiles of the effective noise. Based on this estimator, we derive novel methods for tuning parameter calibration and inference for the lasso.

Underlying paper:


The talk also can be joined online via ZOOM:

Meeting room opens at: May 16, 2022 4.30 pm Vienna

Meeting ID: 655 6399 0669

Password: 422158

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631