Speaker: Johannes Lederer, Ruhr-Universität of Bochum (GER)
Location: Erling Sverdrups plass, Niels Henrik Abels hus, 8th floor
Title: Tuning Parameter Calibration for Large and High-dimensional Data
Abstract: Large and high-dimensional data has become a major source of knowledge in Economics, Biology, Astronomy, and many other fields. However, lasso and other standard methods for such data depend on tuning parameters that are difficult to calibrate. In this talk, we introduce novel approaches to this calibration and demonstrate their features in theory, computations, and applications.