Estimation and Testing Under Sparsity

École d'Été de Probabilités de Saint-Flour XLV – 2015

von Sara van de Geer

274 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

Taking the Lasso method as its starting point, this book describes the main ingredients needed to study general loss functions and sparsity-inducing regularizers. It also provides a semi-parametric approach to establishing confidence intervals and tests. Sparsity-inducing methods have proven to be very useful in the analysis of high-dimensional data. Examples include the Lasso and group Lasso methods, and the least squares method with other norm-penalties, such as the nuclear norm. The illustrations provided include generalized linear models, density estimation, matrix completion and sparse principal components. Each chapter ends with a problem section. The book can be used as a textbook for a graduate or PhD course.

• Reihe: Lecture Notes in Mathematics
• ISBN: 9783319327730
• Sprache: Englisch
• Erscheinungsdatum: 29.06.2016
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer International Publishing