College of LAS Events

Back to Listing

If you will need disability-related accommodations in order to participate, please email the contact person for the event.
Early requests are strongly encouraged to allow sufficient time to meet your access needs.

Statistics Seminar - Lan Wang (University of Miami)

Event Type
Department of Statistics
wifi event
Apr 8, 2021   3:30 pm  
Originating Calendar
Department of Statistics Event Calendar

"We introduce a novel approach for high-dimensional regression with theoretical guarantees.  The new procedure overcomes the challenge of tuning parameter selection of Lasso and possesses several appealing properties. It uses an easily simulated tuning parameter that automatically adapts to both the unknown random error distribution and the correlation structure of the design matrix. It is robust with substantial efficiency gain for heavy-tailed random errors while maintaining high efficiency for normal random errors. Comparing with other alternative robust regression procedures, it also enjoys  the property of being equivariant when the response variable undergoes a scale transformation. Computationally, it can be efficiently solved via linear programming. Theoretically, under weak conditions on the random error distribution, we establish a finite-sample error bound with a near-oracle rate for the new estimator with the  simulated tuning parameter. Our results make useful contributions to mending the gap between the practice and theory of Lasso and its variants. We also prove that further improvement in efficiency can be achieved by a second-stage enhancement with some light tuning.  Our simulation results demonstrate that the proposed methods often outperform cross-validated Lasso in various settings."

Zoom Meeting: 
Meeting ID: 818 7283 6690
Password: 089917

link for robots only