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

Vortrag

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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: www.jmlr.org/papers/v22/20-539.html

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/65563990669

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

Meeting ID: 655 6399 0669

Password: 422158

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at

Erstellt am Mittwoch, 27. April 2022, 09:40
Letzte Änderung am Montag, 02. Mai 2022, 14:46