DEPARTMENT OF STATISTICS
Statistics Colloquium
University of Connecticut
Storrs, Connecticut
The Department of Statistics Cordially invites you to a Colloquium
Yiyuan She, Assistant Professor
Department of Statistics
The Florida State University
On the Structured Variable Selection through
Multi-Regularization
ABSTRACT
Recently many multi-regularized estimators have been proposed and applied to capture various types of structural parsimony in high-dimensional applications. Yet with multiple sparsity-promoting penalties enforced on the same object, the statistical analysis is difficult, and there is a lack of finite-sample studies in the literature. Existing computational algorithms converge slow and cannot meet the challenge of big data. In addition, with multiple regularization parameters involved, the parameter tuning is quite messy and ad-hoc. This talk presents some nonasymptotic results based on two novel recipes. A general-purpose algorithm is developed with a theoretical guarantee of strict iterate convergence. A predictive information criterion is proposed for data-dependent tuning. Some simulations and real data examples are demonstrated to show the efficacy and efficiency of the proposed methodology.
DATE: Wednesday, April 16, 2014
TIME: 4:00 p.m.
PLACE: Philip E. Austin Building – Room 344
Coffee will be served at 3:30 in AUST 326
For more information, contact: Tracy Burke at tracy.burke@uconn.edu