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Estimation and Testing Under Sparsity : Ecole d'Ete de Probabilites de Saint-Flour XLV - 2015 - Sara van de Geer

Estimation and Testing Under Sparsity

Ecole d'Ete de Probabilites de Saint-Flour XLV - 2015

By: Sara van de Geer

eText | 28 June 2016

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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 principal components. Each chapter ends with a problem section. The book can be used as a textbook for a graduate or PhD course.

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