Statistical inference in high-dimensional models under sparsity

Vortrag von Jana Jankova

Sprecher eingeladen von: Prof. Dr. Reinhard Furrer

Datum: 01.12.17  Zeit: 09.15 - 10.15  Raum: Y34F01

High-dimensional data with a sparse structure occur in many areas of science, industry and entertainment. Diverse applications motivated the need to devise efficient statistical methods for analyzing high-dimensional datasets. While methodology for point estimation is elaborate and generally well understood, in many applications it is essential to quantify statistical uncertainty by providing a confidence interval, a p-value or a test. In this talk, we outline methodology for inference based on de-biasing a Lasso estimator in specific statistical models and discuss venues for future research.