High-dimensional Statistics

Instructor: Vincent Rivoirard.

PariSantéCampus, September-December.

Course contents: 

Curse of dimensionality and parsimony for gaussian regression, generalized linear models, and count data. Wavelets and threshhold estimators. Model choice and variable selection. Estimation by convex penalization: ridge, lasso, group-lasso... Link with Bayesian inference. Aggregation methods. Multiple testing: FDR and FWER procedures. Introduction to functional analysis.