[Statlist] Next talk: Friday, December 14, 2012, 14.15h, with Mohamed Hebiri, Université Paris-Est Marne-la-Vallée

[Cecilia Rey]

ETH and University of Zurich

Proff. P. Buehlmann -  L. Held - H.R. Kuensch -
M. Maathuis -  S. van de Geer - M. Wolf

***********************************************************
We are glad to announce the following talk

Friday, December 14, 2012, HG G 19.1  from 14.15h to 15.30h

**********************************************************

by Mohamed Hebiri, Université Paris-Est Marne-la-Vallée


Title 
Learning heteroscedastic models via SOCP under group sparsity

Abstract 
Sparse estimation methods based on `1 relaxation, such as the Lasso and the Dantzig selector, are powerful tools for estimating high dimensional linear models. However, in order to properly tune these methods, the variance of the noise is often required. This constitutes a major obstacle for practical applications of these methods in various frameworks – such as time series, random fields, inverse problems – for which noise is rarely homoscedastic or with a level that is hard to know in advance. In this paper, we propose a new approach to the joint estimation of the conditional mean and the conditional variance in a high-dimensional (auto-)regression setting. 
An attractive feature of our proposed estimator is that it is computable by solving a second-order cone program (SOCP). We present numerical results assessing the performance of the proposed procedure both on simulations and on real data. We also establish non-asymptotic risk bounds which are nearly as strong as those for original `1-penalized estimators. 

This work is joint with Arnak Dalalyan, Katia Meziani and Joseph Salmon

The abstract can also be found here:  http://stat.ethz.ch/events/research_seminar
_______________________________________________
Statlist mailing list
Statlist at stat.ch
https://stat.ethz.ch/mailman/listinfo/statlist
==========================================================================

	[[alternative HTML version deleted]]