[Forum SIS] DEC Seminar - November 20th

[Raffaella Piccarreta]

Dear all, we are glad to announce the following: 


DEC - Statistics Seminar 
Università Bocconi, 
Room 3-E4-SR03 
Via Rontgen 1 - 3rd floor 
Time: 12:30pm 

The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar 

Thursday, November 20th 


Arnak S. Dalalyan 
(ENSAE Ecole Nationale de la Statistique et de l'Administration Economique, Paris Tech) 



"On the performance of the Lasso in terms of prediction loss" 

Abstract 

Although the Lasso has been extensively studied, the relationship between its prediction performance and the correlations of the covariates is not yet fully understood. In this talk, we give new insights into this relationship in the context of regression with deterministic design. We show, in particular, that the incorporation of a simple correlation measure into the tuning parameter leads to a nearly optimal prediction performance of the Lasso even when the elements of the dictionary are highly correlated. However, we also reveal that for moderately correlated dictionary, the performance of the Lasso can be mediocre irrespective of the choice of the tuning parameter. For the illustration of our approach with an important application, we deduce nearly optimal rates for the least-squares estimator with total variation penalty. 
Joint work with M. Hebiri and J. Lederer 




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Raffaella Piccarreta 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
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