Program
An Introduction to Variable Selection in Big Data Analysis
Student No.:50
Time:10:00-12:00, 26(Thu.),27(Fri.)
Instructor:Sijian Wang  [University of Wisconsin, Madison]
Place:Conference Room 3, Floor 2, Jin Chun Yuan West Building
Starting Date:2013-12-17
Ending Date:2013-12-27

 

 

Topics:

 

1. Background and overview of variable selection and its application.

 

2. Variable selection via regularized likelihood: LASSO, SCAD, adaptive

LASSO, relaxed L0 penalty, other non-concave penalties.

 

3. Structured variable selection: elastic net, group LASSO, fused LASSO,

CAP, variable selection with hierarchical constraint.

 

4. Algorithms for regularized estimation: LARS, solution path,

coordinate descent.

  

5. Pre-screening for variable selection: SIS.

 

6.  Variable selection in nonparametric regression, longitudinal data

analysis, functional data analysis and covariance matrix estimation.

 

7.  Asymptotics in ultra-high dimensional data analysis

 

 

 

 

 

Contact person: Zuoqiang Shi