Lasso and Group Lasso for logistic regression model

Marius Kwemou (Laboratoire Statistique et Génome, Evry)
vendredi 16 novembre 2012

Résumé : We consider the problem of estimating a function f_{0} in logistic regression model. We propose to estimate this function f_{0} by a sparse approximation build as a linear combination of elements of a given dictionary of p functions. This sparse approximation is selected by the Lasso or Group Lasso procedure. In this context, we state non asymptotic oracle inequalities for Lasso and Group Lasso under restricted eigenvalues assumption as introduced in Bickel et al. (2009). Those theoretical results are illustrated through a simulation study.


Cet exposé se tiendra en salle C20-13, 20ème étage, Université Paris 1, Centre Pierre Mendès-France, 90 rue de Tolbiac, 75013 Paris (métro : Olympiades).


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