[Statlist] Next talk: Friday, March 21, 2014 with Eric Gautier, ENSAE-CREST, Paris

[Cecilia Rey]

Sonntag, 23. Februar 2014 18:54
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ETH and University of Zurich

Organisers:
Profs. P. B�hlmann - R. Furrer - L. Held - T. Hothorn - H.R. Kuensch - M. Maathuis -
N. Meinshausen - S. van de Geer - M. Wolf

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We are glad to announce the following talk

Friday, March 21, 2014 at 15.15h  ETH Zurich HG G 19.1
with Eric Gautier, ENSAE-CREST, Paris
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Title:
Uniform confidence sets for high dimensional regression and instrumental regression via linear programming

Abstract:

In this talk we present a one-stage method to compute joint confidence sets for the coefficients of a high-dimensional regression with random design under sparsity. The confidence sets have finite sample validity and are robust to non-Gaussian errors of unknown variance and heteroscedastic errors. Nonzero coefficients can be arbitrarily close to zero. This extends previous work with Alexandre Tsybakov where we rely on a conic program to obtain joint confidence sets and estimation for this pivotal linear programming procedure. The method we present only relies on linear programming which is important for dealing with high-dimensional models. We will explain how this method extends to linear models with regressors that are correlated with the error term (called endogenous regressors) as is often the case in econometrics. The procedure relies on the use of so-called instrumental variables. The method is then robust to identification and weak instruments.

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This abstract is also to be found under the following link: http://stat.ethz.ch/events/research_seminar
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