Estimation and Testing Under Sparsity
Sara van de Geer
Broschiertes Buch

Estimation and Testing Under Sparsity

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

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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 pr...